NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by A. Craig MacKinlay

Working Papers and Chapters

June 1999Asset Pricing Models: Implications for Expected Returns and Portfolio Selection
with Lubos Pastor: w7162
November 1997Econometric Models of Limit-Order Executions
with Andrew W. Lo, June Zhang: w6257
February 1995Maximizing Predictability in the Stock and Bond Markets
with Andrew W. Lo: w5027
June 1994Multifactor Models Do Not Explain Deviations from the CAPM
w4756
October 1991An Ordered Probit Analysis of Transaction Stock Prices
with Jerry A. Hausman, Andrew W. Lo: w3888
March 1991Data-Snooping Biases in Tests of Financial Asset Pricing Models
with Andrew W. Lo: w3001
February 1991An Econometric Analysis of Nonsynchronous Trading
with Andrew W. Lo: w2960
When are Contrarian Profits Due to Stock Market Overreaction?
with Andrew W. Lo: w2977
May 1989Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test
with Andrew W. Lo: w2168
June 1988The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation
with Andrew W. Lo: t0066

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