NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

A. Craig MacKinlay

Department of Finance
The Wharton School
University of Pennsylvania
3255 Steinberg-Dietrich Hall
3620 Locust Walk
Philadelphia, PA 19104-6367
Tel: (215) 898-5309

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
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NBER Program Affiliations: AP
NBER Affiliation: Research Associate

NBER Working Papers and Publications

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

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 1989An Econometric Analysis of Nonsynchronous Trading
with Andrew W. Lo: w2960

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

When 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

 
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