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Tables of Contents for A Non-Random Walk Down Wall Street
List of Figuresxiii
List of Tablesxv
The Random Walk and Efficient Markets
4
2
The Current State of Efficient Markets
6
2
Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
17
30
The Specification Test
19
7
Homoskedastic Increments20
4
Heteroskedastic Increments24
2
The Random Walk Hypothesis for Weekly Returns
26
8
Results for Market Indexes27
3
Results for Size-Based Portfolios30
2
Results for Individual Securities32
2
Spurious Autocorrelation Induced by Nontrading
34
4
The Mean-Reverting Alternative to the Random Walk
38
1
Appendix A2: Proof of Theorems41
6
The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation
47
38
The Variance Ratio Test
49
6
The IID Gaussian Null Hypothesis49
3
The Heteroskedastic Null Hypothesis52
2
Variance Ratios and Autocorrelations54
1
Properties of the Test Statistic under the Null Hypothesis
55
13
The Gaussian IID Null Hypothesis55
6
A Heteroskedastic Null Hypothesis61
7
The Variance Ratio Test for Large q69
1
Power against a Stationary AR(1) Alternative70
3
Two Unit Root Alternatives to the Random Walk73
8
An Econometric Analysis of Nonsynchronous Trading
85
30
A Model of Nonsynchronous Trading
88
7
Implications for Individual Returns90
3
Implications for Portfolio Returns93
2
An Empirical Analysis of Nontrading
99
6
Daily Nontrading Probabilities Implicit in Autocorrelations101
3
Nontrading and Index Autocorrelations104
1
Extensions and Generalizations
105
10
Appendix A4: Proof of Propositions108
7
When Are Contrarian Profits Due to Stock Market Overreaction?
115
32
A Summary of Recent Findings
118
3
Analysis of Contrarian Profitability
121
11
The Independently and Identically Distributed Benchmark124
1
Stock Market Overreaction and Fads124
2
Trading on White Noise and Lead-Lag Relations126
1
Lead-Lag Effects and Nonsynchronous Trading127
3
A Positively Dependent Common Factor and the Bid-Ask Spread130
2
An Empirical Appraisal of Overreaction
132
8
Long Horizons Versus Short Horizons
140
2
Appendix A5143
4
Long-Term Memory in Stock Market Prices
147
38
Long-Range Versus Short-Range Dependence
149
6
The Null Hypothesis149
3
Long-Range Dependent Alternatives152
3
The Rescaled Range Statistic
155
10
The Modified R/S Statistic158
2
The Asymptotic Distribution of Qn160
1
The Relation Between Qn and Qn161
2
The Behavior of Qn Under Long Memory Alternatives163
2
R/S Analysis for Stock Market Returns
165
6
The Evidence for Weekly and Monthly Returns166
5
The Size of the R/S Test171
3
Power Against Fractionally-Differenced Alternatives174
5
Appendix A6: Proof of Theorems181
4
Multifactor Models Do Not Explain Deviations from the CAPM
189
24
Linear Pricing Models, Mean-Variance Analysis, and the Optimal Orthogonal Portfolio
192
3
Squared Sharpe Measures
195
1
Implications for Risk-Based Versus Nonrisk-Based Alternatives
196
12
Zero Intercept F-Test197
1
Testing Approach198
8
Estimation Approach206
2
Asymptotic Arbitrage in Finite Economies
208
4
Data-Snooping Biases in Tests of Financial Asset Pricing Models
213
36
Quantifying Data-Snooping Biases With Induced Order Statistics
215
15
Asymptotic Properties of Induced Order Statistics216
3
Biases of Tests Based on Individual Securities219
5
Biases of Tests Based on Portfolios of Securities224
4
Interpreting Data-Snooping Bias as Power228
2
Simulation Results for &thetas;p231
1
Effects of Induced Ordering on F-Tests231
5
F-Tests With Cross-Sectional Dependence236
2
Two Empirical Examples
238
5
Sorting By Beta238
2
Sorting By Size240
3
How the Data Get Snooped
243
3
Maximizing Predictability in the Stock and Bond Markets
249
36
Predicting Factors vs. Predicting Returns252
2
Numerical Illustration254
2
Empirical Illustration256
1
Maximizing Predictability
257
3
Maximally Predictable Portfolio258
1
Example: One-Factor Model259
1
An Empirical Implementation
260
13
The Conditional Factors261
1
Estimating the Conditional-Factor Model262
7
Maximizing Predictability269
2
The Maximally Predictable Portfolios271
2
Statistical Inference for the Maximal R2
273
3
Monte Carlo Analysis273
3
Three Out-of-Sample Measures of Predictability
276
7
Naive vs. Conditional Forecasts276
3
Merton's Measure of Market Timing279
2
The Profitability of Predictability281
2
An Ordered Probit Analysis of Transaction Stock Prices
287
60
The Ordered Probit Model
290
5
Other Models of Discreteness294
1
The Likelihood Function294
1
Sample Statistics297
10
The Empirical Specification
307
3
The Maximum Likelihood Estimates
310
10
Diagnostics316
2
Endogeneity of Δtk and IBSk318
2
Order-Flow Dependence321
1
Measuring Price Impact Per Unit Volume of Trade322
9
Does Discreteness Matter?331
7
Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices
347
22
Arbitrage Strategies and the Behavior of Stock Index Futures Prices
348
4
Forward Contracts on Stock Indexes (No Transaction Costs)349
1
The Impact of Transaction Costs350
2
Data353
1
Behavior of Futures and Index Series354
6
The Behavior of the Mispricing Series360
4
Path Dependence of Mispricing364
3
Order Imbalances and Stock Price Movements on October 19 and 20, 1987
369
26
The Source of the Data371
1
The Published Standard and Poor's Index372
1
The Constructed Indexes
373
5
Buying and Selling Pressure
378
9
A Measure of Order Imbalance378
2
Time-Series Results380
1
Cross-Sectional Results381
4
Return Reversals385
2
Appendix A12389
1
Index Levels389
4
Fifteen-Minute Index Returns393
2
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