Research


Long-Term Memory in Stock Market Prices

Lo, Andrew W. (1991), Long-Term Memory in Stock Market Prices, Econometrica 59 (5), 1279–1313.

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Data Snooping Biases in Tests of Financial Asset Pricing Models

Lo, Andrew W., and A. Craig MacKinlay (1990), Data-Snooping Biases in Tests of Financial Asset Pricing Models, Review of Financial Studies 3 (3), 431–467.

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When Are Contrarian Profits Due To Stock Market Overreaction?

Lo, Andrew W., and A. Craig MacKinlay (1990), When Are Contrarian Profits Due to Stock Market Overreaction?, Review of Financial Studies 3 (2), 175–205.

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An Econometric Analysis of Nonsynchronous Trading

Lo, Andrew W., and A. Craig MacKinlay (1990), An Econometric Analysis of Nonsynchronous Trading, Journal of Econometrics 45 (1–2), 181–211.

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Games of Survival in the Newspaper Industry

Bucklin, Randolph E., Richard E. Caves, and Andrew W. Lo (1989), Games of Survival in the US Newspaper Industry, Applied Economics 21 (5), 631–649.

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The Size and Power of the Variance Ration Test in Finite Samples: A Monte Carlo Investigation

Lo, Andrew W., and A. Craig MacKinlay (1989), The Size and Power of the Variance Ratio Test in Finite Samples. A Monte Carlo Investigation, Journal of Econometrics 40 (2), 203–238.

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Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

Lo, Andrew W., and A. Craig MacKinlay (1988), Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test, The Review of Financial Studies 1 (1), 41–66.

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Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data

Lo, Andrew W. (1988), Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data, Econometric Theory 4 (2), 231–247.

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Semi-parametric Upper Bounds for Option Prices and Expected Payoffs

Lo, Andrew W. (1987), Semi-parametric Upper Bounds for Option Prices and Expected Payoffs, Journal of Financial Economics 19 (2), 373–387.

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Logit Versus Discriminant Analysis: A Specification Test with Applications to Corporate Bankruptcies

Lo, Andrew W. (1986), Logit versus Discriminant Analysis. A Specification Test and Application to Corporate Bankruptcies, Journal of Econometrics 31 (2), 151–178.

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