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Review of Financial Studies

Опубликовано на портале: 25-10-2007
Andrew W. Lo, A. Craig MacKinlay Review of Financial Studies. 1988.  Vol. 1. No. 1. P. 41-66. 
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 sampleperiod (1962-1985) and for all subperiods for a variety of aggregate returns indexes and size-sorted porfolios. Although the rejections are due largely to the behavior of small stocks, they cannot be attributed completely to the effects of infrequent trading or timevarying volatilities. Moreover, the rejection of the random walk for weekly returns does not support a mean-reverting model of assetprices.
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