NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by A. Craig MacKinlay

Contact and additional information for this authorAll papers and publicationsWorking Papers onlyWorking Papers with publication info

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
February 1991An Econometric Analysis of Nonsynchronous Trading
with Andrew W. Lo: w2960
June 1989Data-Snooping Biases in Tests of Financial Asset Pricing Models
with Andrew W. Lo: w3001
May 1989When are Contrarian Profits Due to Stock Market Overreaction?
with Andrew W. Lo: w2977
June 1988The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation
with Andrew W. Lo: t0066
February 1987Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test
with Andrew W. Lo: w2168

Contact and additional information for this authorAll papers and publicationsWorking Papers onlyWorking Papers with publication info

 
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