复旦大学投资学课件 Section6 Random Walks.pptVIP

Stock market prices do not follow random walks: evidence from a simple specification test Andrew W.Lo A.Craig MacKinlay The review of financial studies 1988 Abstract Menu 1. The Specification Test 2. The random walk hypothesis for weekly returns 3. Spurious autocorrelation induced by nontrading 4.The mean-reverting alternative to the random walk 5.Conclusion Introduction Fama(1970): most studies were unable to reject the EMH of common stocks Forecastability of common stock returns: Random walk theory. But some papers find predictable stock returns components Fama and French(1987): negativel