A Non-Random Walk Down Wall Street
A Non-Random Walk Down Wall Street offers a tantalizing glimpse into the financial technologies of the future. It provides a state-of-the-art account of the techniques for detecting predictabilities and evaluating their statistical and economic significance. This book invites scholars to reconsider the Random Walk Hypothesis, and, by carefully documenting the presence of predictable components in the stock market, also directs investment professionals toward superior long-term investment returns through disciplined active investment management.
Praise for A Non-Random Walk Down Wall Street
"This provocative collection of essays provides careful empirical analyses of the major anomalies that have appeared in financial markets in the thirty-five years since Paul Cootner's influential Random Character of Stock Market Prices. It provides convincing evidence against the random walk as applied to Stock Markets, and at the same time warns us of the dangers of finding spurious anomalies. It is a worthy successor to Cootner's classic."
― Michael Brennan, University of California, Los Angeles
"This book is highly recommended to academic and private-sector economists who are interested in understanding better the behavior of financial market returns."
― Lars Peter Hansen, University of Chicago
"The common feature of this work is that it is guided by simple economic intuitions while simultaneously being econometrically rigorous and careful."
― Bruce N. Lehmann, University of California, San Diego