The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
Abstract
In this article we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at different frequencies. The random walk model is strongly rejected for the entire sample period (1962–1985) and for all subperiods for a variety of aggregate returns indexes and size-sorted portfolios. Although the rejections are due largely to the behavior of small stocks, they cannot be attributed completely to the effects of infrequent trading or time-varying volatilities. Moreover, the rejection of the random walk for weekly returns does not support a mean-reverting model of asset prices.
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Citations
Cites
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Specification Tests in Econometrics
Hausman, J. A. (1978) · Econometrica · doi:10.2307/1913827 · Cited by 18,820
Efficient capital markets: A review of theory and empirical work
Fama, E. F. (1970) · The Journal of Finance · doi:10.2307/2325486 · Cited by 13,635
Cited by
FAMA, E. F. (1991) · The Journal of Finance · doi:10.1111/j.1540-6261.1991.tb04636.x · Cited by 5,350
Do Industries Explain Momentum?
Moskowitz, T. J., & Grinblatt, M. (1999) · The Journal of Finance · doi:10.1111/0022-1082.00146 · Cited by 1,766
Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement
Hodrick, R. J. (1992) · Review of Financial Studies · doi:10.1093/rfs/5.3.351 · Cited by 1,523
Urquhart, A. (2016) · Economics Letters · doi:10.1016/j.econlet.2016.09.019 · Cited by 1,338
FAMA, E. F. (1991) · The Journal of Finance · doi:10.2307/2328565 · Cited by 1,271
Metadata
- Authors
- Lo, A. W., & MacKinlay, A. C.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 1988-01
- Volume
- 1
- Issue
- 1
- Pages
- 41-66
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W3123598380
- Cited by
- 3,731
- References
- 3
- FWCI
- 69.35
- Type
- journal article
- Language
- en
- Open access
- closed
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- Lo, A. W., & MacKinlay, A. C. (1988). Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test. Review of Financial Studies. https://doi.org/10.1093/rfs/1.1.41
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
