Edited by Andrew W. Lo, Charles E. and Susan T. Harris Professor, MIT Sloan School of Management and Director, MIT Laboratory for Financial Engineering, Cambridge, Massachusetts, US
Contents: Volume I: Statistical Models of Asset Returns Acknowledgements Introduction Andrew W. Lo PART I PHILOSOPHICAL BACKGROUND 1. Edward Leamer (1983), 'Let's Take the Con Out of Econometrics' 2. Richard Roll (1988), 'R2' 3. D.R. Cox (1990), 'Role of Models in Statistical Analysis' 4. Deirdre N. McCloskey and Stephen T. Ziliak (1996), 'The Standard Error of Regressions' PART II THE RANDOM WALK HYPOTHESIS 5. Holbrook Working (1960), 'Note on the Correlation of First Differences of Averages in a Random Chain' 6. Benoit Mandelbrot (1963), 'The Variation of Certain Speculative Prices' 7. Eugene F. Fama (1965), 'The Behavior of Stock-Market Prices' 8. Andrew W. Lo and A. Craig MacKinlay (1988), 'Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test' 9. James M. Poterba and Lawrence H. Summers (1988), 'Mean Reversion in Stock Prices: Evidence and Implications' 10. Matthew Richardson and James H. Stock (1990), 'Drawing Inferences From Statistics Based on Multiyear Asset Returns' PART III TIME-VARYING MOMENTS 11. Robert F. Engle (1982), 'Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of UK Inflation' 12. Tim Bollerslev (1986), 'Generalized Autoregressive Conditional Heteroskedasticity' 13. James D. Hamilton (1989), 'A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle' 14. Daniel B. Nelson (1991), 'Conditional Heteroskedasticity in Asset Returns: A New Approach' PART IV LONG MEMORY AND FAT TAILS 15. Benoit B. Mandelbrot and John W. Van Ness (1968), 'Fractional Brownian Motions, Fractional Noises and Applications' 16. Myron T. Greene and Bruce D. Fielitz (1977), 'Long-Term Dependence in Common Stock Returns' 17. C.W.J. Granger and Roselyne Joyeux (1980), 'An Introduction to Long-Memory Time Series Models and Fractional Differencing' 18. John Geweke and Susan Porter-Hudak (1983), 'The Estimation and Application of Long Memory Time Series Models' 19. Andrew W. Lo (1991), 'Long-Term Memory in Stock Market Prices' 20. Richard T. Baillie (1996), 'Long Memory Processes and Fractional Integration in Econometrics' PART V UNIT ROOTS AND CO-INTEGRATION 21. Robert F. Engle and C.W.J. Granger (1987), 'Co-Integration and Error Correction: Representation, Estimation, and Testing' 22. P.C.B. Phillips (1987), 'Time Series Regression with a Unit Root' Name Index Volume II: Static Asset Pricing Models Introduction Andrew W. Lo PART I THE CAPITAL ASSET PRICING MODEL 1. Eugene F. Fama and James D. MacBeth (1973), 'Risk, Return, and Equilibrium: Empirical Tests' 2. Michael R. Gibbons (1982), 'Multivariate Tests of Financial Models: A New Approach' 3. J.D. Jobson and Bob Korkie (1982), 'Potential Performance and Tests of Portfolio Efficiency' 4. A. Craig MacKinlay (1987), 'On Multivariate Tests of the CAPM' 5. Michael R. Gibbons, Stephen A. Ross and Jay Shanken (1989), 'A Test of the Efficiency of a Given Portfolio' 6. Eugene F. Fama and K.R. French (1992), 'The Cross-Section of Expected Stock Returns' 7. Fischer Black (1993), 'Return and Beta' 8. A. Craig MacKinlay (1995), 'Multifactor Models Do Not Explain Deviations from the CAPM' 9. Andrew W. Lo and Jiang Wang (2000), 'Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory' PART II THE ARBITRAGE PRICING THEORY 10. Jay Shanken (1982), 'The Arbitrage Pricing Theory: Is It Testable?' 11. Gary Chamberlain and Michael Rothschild (1983), 'Arbitrage, Factor Structure, and Mean Variance Analysis on Large Asset Markets' 12. Phoebus J. Dhrymes, Irwin Friend and N. Bulent Gultekin (1984), 'A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory' 13. Richard Roll and Stephen A. Ross (1984), 'A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply' 14. Philip H. Dybvig and Stephen A. Ross (1985), 'Yes, The APT Is Testable' 15. Jay Shanken (1985), 'Multi-Beta CAPM or Equilibrium-APT?: A R