Research


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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A Large-Sample Chow Test for the Single Linear Simultaneous Equation

Lo, Andrew W., and Whitney K. Newey (1985), A Large-Sample Chow Test for the Linear Simultaneous Equation, Economics Letters 18 (4), 351–353.

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Systemic Risk and the Refinancing Ratchet Effect

Khandani, Amir E., Andrew W. Lo, and Robert C. Merton (2013), Systemic Risk and the Refinancing Ratchet Effect, Journal of Financial Economics 108 (1), 29–45.

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An Econometric Model of Serial Correlation and Illiquidity in Hedge-Fund Returns

Getmansky, Mila, Andrew W. Lo, and Igor Makarov (2004), An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns, Journal of Financial Economics 74 (3), 529–609.

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Asset Prices and Trading Volume Under Fixed Transactions Costs

Lo, Andrew W., Harry Mamaysky, and Jiang Wang (2004), Asset Prices and Trading Volume under Fixed Transactions Costs, Journal of Political Economy 112 (5), 1054–1090.

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