A Non-Random Walk Down Wall Street.

LO, Andrew W. and A. Craig MacKinlay .

Item Number: 37843

Princeton: Princeton University Press, 1999.

First edition of this collection of essays. Octavo, original boards. Presentation copy, inscribed by Andrew Lo on the title page, “November 2015 To John With Best Wishes Andrew Lo.” Also laid in is an autographed signed letter from Andrew Lo. Fine in a near fine dust jacket. Jacket illustration by Matt Mahurin. Jacket design by Frank Mahood.

For over half a century, financial experts have regarded the movements of markets as a random walk--unpredictable meanderings akin to a drunkard's unsteady gait--and this hypothesis has become a cornerstone of modern financial economics and many investment strategies. Here Andrew W. Lo and A. Craig MacKinlay put the Random Walk Hypothesis to the test. In this volume, which elegantly integrates their most important articles, Lo and MacKinlay find that markets are not completely random after all, and that predictable components do exist in recent stock and bond returns. Their book provides a state-of-the-art account of the techniques for detecting predictabilities and evaluating their statistical and economic significance, and offers a tantalizing glimpse into the financial technologies of the future. "What Andrew W. Lo and A. Craig MacKinlay impressively do . . . [is look] for hard statistical evidence of predictable patterns in stock prices. . . . Here they marshal the most sophisticated techniques of financial theory to show that the market is not completely random after all" (Jim Holt, Wall Street Journal)