Chapters in this book

1. Frontmatter i
2. Contents vii
3. List of Figures xiii
4. List of Tables xv
5. Preface xxi
6. 1. Introduction 1
7. Part I.
8. Introduction 13
9. 2. Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test 17
10. 3. The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation 47
11. 4. An Econometric Analysis of Nonsynchronous Trading 85
12. 5. When Are Contrarian Profits Due to Stock Market Overreaction 115
13. 6. Long-Term Memory in Stock Market Prices 147
14. Part II.
15. Introduction 185
16. 7. Multifactor Models Do Not Explain Deviations from the CAPM 189
17. 8. Data-Snooping Biases in Tests of Financial Asset Pricing Models 213
18. 9. Maximizing Predictability in the Stock and Bond Market 249
19. Part III.
20. Introduction 285
21. 10. An Ordered Probit Analysis of Transaction Stock Prices 287
22. 11. Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices 347
23. 12. Order Imbalances and Stock Price Movements on October 19 and 20. 1987 369
24. References 395
25. Index 417