TY  - JOUR
AU  - Lo,Andrew W.
AU  - MacKinlay,A. Craig
TI  - Stock Market Prices Do Not Follow Random Walks:  Evidence From a Simple Specification Test
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 2168
PY  - 1989
Y2  - May 1989
UR  - http://www.nber.org/papers/w2168
L1  - http://www.nber.org/papers/w2168.pdf
N1  - Author contact info:
Andrew W. Lo
MIT Sloan School of Management
100 Main Street, E62-618
Cambridge, MA  02142
Tel: 617/253-0920
Fax: 781/891-9783
E-Mail: alo@mit.edu

A. Craig MacKinlay
Department of Finance, Wharton School
University of Pennsylvania, Steinberg-Dietrich Hal
3620 Locust Walk
Philadelphia, PA  19104-6367
Tel: 215/898-5309
Fax: 215/898-6200
E-Mail: MACKINLAY@WHARTON.UPENN.EDU
AB  - In this paper, we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at different frequencies. The random walk model is strongly rejected for the entire sample period (1962-1985) and for all sub-periods for a variety of aggregate returns indexes and size-sorted portfolios. Although the rejections are largely due to the behavior of small stocks, they cannot be ascribed to either the effects of infrequent trading or time-varying volatilities. Moreover, the rejection of the random walk cannot be interpreted as supporting a mean-reverting stationary model of asset prices, but is more consistent with a specific nonstationary alternative hypothesis.
ER  -