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