NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by A. Craig MacKinlay

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers only

Working Papers

June 1999Asset Pricing Models: Implications for Expected Returns and Portfolio Selection
with Lubos Pastor: w7162

Published: MacKinlay, A. Craig and L. Pastor. "Asset Pricing Models: Implications For Expected Returns And Portfolio Selection," Review of Financial Studies, 2000, v13(4,Winter), 883-916. citation courtesy of

November 1997Econometric Models of Limit-Order Executions
with Andrew W. Lo, June Zhang: w6257

Published: Lo, Andrew W., A. Craig MacKinlay and June Zhang. "Econometric Models Of Limit-Order Executives," Journal of Financial Economics, 2002, v65(1,Jul), 31-71. citation courtesy of

February 1995Maximizing Predictability in the Stock and Bond Markets
with Andrew W. Lo: w5027

Published: Lo, Andrew W. & Mackinlay, A. Craig, 1997. "Maximizing Predictability In The Stock And Bond Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 1(01), pages 102-134, January. citation courtesy of

June 1994Multifactor Models Do Not Explain Deviations from the CAPM
w4756

Published: Journal of Financial Economics, Vol. 38, no. 1 (1995): 3-28.

October 1991An Ordered Probit Analysis of Transaction Stock Prices
with Jerry A. Hausman, Andrew W. Lo: w3888

Published: Journal of Financial Economics, Volume 31, No.2, pp.319-379, 1992 citation courtesy of

February 1991An Econometric Analysis of Nonsynchronous Trading
with Andrew W. Lo: w2960

Published: Journal of Econometrics, Vol. 45, pp. 181-211, (1990). citation courtesy of

June 1989Data-Snooping Biases in Tests of Financial Asset Pricing Models
with Andrew W. Lo: w3001

Published: The Review of Financial Studies, Vol. 3, No. 3, pp. 431-467, (1990). citation courtesy of

May 1989When are Contrarian Profits Due to Stock Market Overreaction?
with Andrew W. Lo: w2977

Published: The Review of Financial Studies, Vol. 3, No. 2, pp. 175-205, (1990). citation courtesy of

June 1988The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation
with Andrew W. Lo: t0066

Published: Journal of Econometrics, vol. 40, 1989, pp. 203-238

February 1987Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test
with Andrew W. Lo: w2168

Published: The Review of Financial Studies, Vol. 1, No. 1, pp. 41-66, (1988). citation courtesy of

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers only

 
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