Multifactor models do not explain deviations from the CAPM
A number of studies have presented evidence rejecting the validity of the Sharpe-Lintner capital asset pricing model (CAPM). Possible alternatives include risk-based models, suc...
Publications
4 shownAn ordered probit analysis of transaction stock prices
We estimate the conditional distribution of trade-to-trade price changes using ordered probit, a statistical model for discrete random variables. This approach recognizes that t...
Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
Journal Article Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test Get access Andrew W. Lo, Andrew W. Lo University of Pennsylvania Search...
The Econometrics of Financial Markets
This book is an ambitious effort by three well-known and well-respected scholars to fill an acknowledged void in the literature—a text covering the burgeoning field of empirical...
Frequent Co-Authors
Researcher Info
- h-index
- 4
- Publications
- 4
- Citations
- 10,884
- Institution
- California University of Pennsylvania
External Links
Impact Metrics
h-index
4
h-index: Number of publications with at least h citations each.