A Non-Random Walk Down Wall Street

摘要: List of Figures Tables Preface 1 Introduction 1.1 The Random Walk and Efficient Markets 1.2 Current State 1.3 Practical Implications Part I 2 Stock Market Prices Do Not Follow Walks: Evidence from a Simple Specification Test 2.1 2.1.1 Homoskedastic Increments 2.1.2 Heteroskedastic 2.2 Hypothesis for Weekly Returns 2.2.1 Results Indexes 2.2.2 Size-Based Portfolios 2.2.3 Individual Securities 2.3 Spurious Autocorrelation Induced by Nontrading 2.4 Mean-Reverting Alternative to the 2.5 Conclusion Appendix A2: Proof Theorems 3 Size Power Variance Ratio in Finite Samples: A Monte Carlo Investigation 3.1 3.2 3.2.1 IID Gaussian Null 3.2.2 3.2.3 Ratios Autocorrelations 3.3 Properties Statistic under Hypotheses 3.3.1 3.3.2 3.4 3.4.1 Large q 3.4.2 against Stationary AR(1) 3.4.3 Two Unit Root Alternatives 3.5 4 An Econometric Analysis Nonsynchronous Trading 4.1 4.2 Model 4.2.1 4.2.2 Portfolio 4.3 Time Aggregation 4.4 Empirical 4.4.1 Daily Probabilities Implicit 4.4.2 Index 4.5 Extensions Generalizations A4: Propositions 5 When Are Contrarian Profits Due Overreaction? 5.1 5.2 Summary Recent Findings 5.3 Profitability 5.3.1 Independently Identically Distributed Benchmark 5.3.2 Overreaction Fads 5.3.3 on White Noise Lead-Lag Relations 5.3.4 Effects 5.3.5 Positively Dependent Common Factor Bid-Ask Spread 5.4 Appraisal 5.5 Long Horizons Versus Short 5.6 A5 6 Long-Term Memory 6.1 6.2 Long-Range Short-Range Dependence 6.2.1 6.2.2 6.3 Rescaled Range 6.3.1 Modified R/S 6.3.2 Asymptotic Distribution Qn 6.3.3 Relation Between [tilde]Qn 6.3.4 Behavior Under 6.4 6.4.1 Monthly 6.5 6.5.1 6.5.2 Against Fractionally-Differenced 6.6 A6: II 7 Multifactor Models Explain Deviations CAPM 7.1 7.2 Linear Pricing Models, Mean-Variance Analysis, Optimal Orthogonal 7.3 Squared Sharpe Measures 7.4 Risk-Based Nonrisk-Based 7.4.1 Zero Intercept F-Test 7.4.2 Testing Approach 7.4.3 Estimation 7.5 Arbitrage Economies 7.6 8 Data-Snooping Biases Tests Financial Asset 8.1 Quantifying With Order Statistics 8.1.1 8.1.2 Based 8.1.3 8.1.4 Interpreting Bias as 8.2 8.2.1 Simulation [theta]p 8.2.2 Ordering F-Tests 8.2.3 Cross-Sectional 8.3 Examples 8.3.1 Sorting By Beta 8.3.2 8.4 How Data Get Snooped 8.5 9 Maximizing Predictability Bond 9.1 9.2 Motivation 9.2.1 Predicting Factors vs. 9.2.2 Numerical Illustration 9.2.3 9.3 9.3.1 Maximally Predictable 9.3.2 Example: One-Factor 9.4 Implementation 9.4.1 Conditional 9.4.2 Estimating Conditional-Factor 9.4.3 9.4.4 9.5 Statistical Inference Maximal R2 9.5.1 9.6 Three Out-of-Sample 9.6.1 Naive Forecasts 9.6.2 Merton's Measure Timing 9.6.3 9.7 III 10 Ordered Probit Transaction 10.1 10.2 10.2.1 Other Discreteness 10.2.2 Likelihood Function 10.3 10.3.1 Sample 10.4 10.5 Maximum Estimates 10.5.1 Diagnostics 10.5.2 Endogeneity [Delta]tk IBSk 10.6 Applications 10.6.1 Order-Flow 10.6.2 Measuring Price Impact Per Volume Trade 10.6.3 Does Matter? 10.7 Larger 10.8 11 Index-Futures Futures 11.1 Strategies 11.1.1 Forward Contracts (No Costs) 11.1.2 Costs 11.2 11.2.1 11.2.2 Series 11.2.3 Mispricing 11.2.4 Path 11.3 12 Imbalances Movements October 19 20, 1987 12.1 Some Preliminaries 12.1.1 Source 12.1.2 Published Standard Poor's 12.2 Constructed 12.3 Buying Selling Pressure 12.3.1 Imbalance 12.3.2 Time-Series 12.3.3 12.3.4 Return Reversals 12.4 A12 A12.1 Levels A12.2 Fifteen-Minute References