Acknowledgements

Foreword

Richard Roll

Introduction to both volumes

Andrew W. Lo

PART I THEORETICAL FOUNDATIONS

Fischer Black (1986)

1. `Noise', Journal of Finance, XLI (3), July, 529-43

Eugene F. Fama (1970)

2. `Efficient Capital Markets: A Review of Theory and Empirical Work', Journal of Finance, XXV (2), May, 383-417

Sanford Grossman (1976)

3. `On the Efficiency of Competitive Stock Markets where Trades have Diverse Information', Journal of Finance, XXXI (2), May, 573-85

Sanford J. Grossman

Joseph E. Stiglitz (1980)

4. `On the Impossibility of Informationally Efficient Markets', American Economic Review, 70 (3), June, 393-408

Stephen F. LeRoy (1973)

5. `Risk Aversion and the Martingale Property of Stock Prices', International Economic Review, 14 (2), June, 436-46

Robert E. Lucas, Jr (1978)

6. `Asset Prices in an Exchange Economy', Econometrica, 46 (6), November, 1429-45

Paul A. Samuelson (1965)

7. `Proof that Properly Anticipated Prices Fluctuate Randomly', Industrial Management Review, 6, 41-9

PART II THE RANDOM WALK HYPOTHESIS

Paul H. Cootner (1962)

8. `Stock Prices: Random vs. Systematic Changes', Industrial Management Review, 3, 24-45

Alfred Cowles, 3rd

Herbert E. Jones (1937)

9. `Some A Posteriori Probabilities in Stock Market Action', Econometrica, 5, 280-294

Eugene F. Fama (1965)

10. `The Behavior of Stock-Market Prices', Journal of Business, XXXVIII (1), January, 34-105

Eugene F. Fama

Marshall E. Blume (1966)

11. `Filter Rules and Stock-Market Trading', Journal of Business, XXXIX (1, part II), January, 226-41

Eugene F. Fama

Kenneth R. French (1988)

12. `Permanent and Temporary Components of Stock Prices', Journal of Political Economy, 96 (2), 246-73

Kenneth R. French

Richard Roll (1986)

13. `Stock Return Variances: The Arrival of Information and the Reaction of Traders', Journal of Financial Economics, 17, 5-26

Narasimhan Jegadeesh (1990)

14. `Evidence of Predictable Behavior of Security Returns', Journal of Finance, XLV (3), July, 881-98

Myung Jig Kim

Charles R. Nelson

Richard Startz (1991)

15. `Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence', Review of Economic Studies, 58, 515-28

Andrew W. Lo (1991)

16. `Long-Term Memory in Stock Market Prices', Econometrica, 59 (5), September, 1279-313

Andrew W. Lo

A. Craig MacKinlay (1988)

17. `Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test', Review of Financial Studies, 1 (1), Spring, 41-66 and erratum slip

M. F. M. Osborne (1959)

18. `Brownian Motion in the Stock Market', Operations Research, 7 (2), March-April, 145-73

James M. Poterba

Lawrence H. Summers (1988)

19. `Mean Reversion in Stock Prices: Evidence and Implications', Journal of Financial Economics, 22, 27-59

Matthew Richardson (1993)

20. `Temporary Components of Stock Prices: A Skeptic's View', Journal of Business & Economic Statistics, 11 (2), April, 199-207

Name Index

Acknowledgements

Foreword

Richard Roll

Introduction to both volumes

Andrew W. Lo

PART I VARIANCE BOUNDS TESTS

John Y. Campbell

Robert J. Shiller (1989)

`The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors', Review of Financial Studies, 1(3), 195-228

Marjorie A. Flavin (1983)

2. `Excess Volatility in the Financial Markets: A Reassessment of the Empirical Evidence', Journal of Political Economy, 91(6), 929-56

Christian Gilles

Stephen F. LeRoy (1991)

3. `Econometric Aspects of the Variance-Bounds Tests: A Survey', Review of Financial Studies, 4(4), 753-91

Sanford J. Grossman

Robert J. Shiller (1981)

4. `The Determinants of the Variability of Stock Market Prices', American Economic Review, 71(2), May, 222-7

Allan W. Kleidon (1986)

5. `Variance Bounds Tests and Stock Price Valuation Models', Journal of Political Economy, 94(5), October, 953-1001

Stephen F. LeRoy

Richard D. Porter (1981)

6. `The Present-Value Relation: Tests Based on Implied Variance Bounds', Econometrica, 49(3), May, 555-74

Terry A. Marsh

Robert C. Merton (1986)

7. `Dividend Variability and Variance Bounds Tests for the Rationality of Stock Market Prices', American Economic Review, 76(3), June, 483-98

Robert C. Merton (1987)

8. `On the Current State of the Stock Market Rationality Hypothesis', in Rudiger Dornbusch, Stanley Fischer and John Bossons (eds), Macroeconomics and Finance: Essays in Honor of Franco Modigliani, Chapter 5, Cambridge, MA: MIT Press, 93-124

Ronald W. Michener (1982)

9. `Variance Bounds in a Simple Model of Asset Pricing', Journal of Political Economy, 90(1), February, 166-75

Robert J. Shiller (1981)

10. `Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?', American Economic Review, 71(3), June, 421-36

Kenneth D. West (1988)

11. `Dividend Innovations and Stock Price Volatility', Econometrica, 56(1), January, 37-61

PART II OVERREACTION AND UNDERREACTION

Ray Ball

Philip Brown (1968)

12. `An Empirical Evaluation of Accounting Income Numbers', Journal of Accounting Research, 6(2), Autumn, 159-78

Victor L. Bernard

Jacob K. Thomas (1990)

13. `Evidence that Stock Prices do not Fully Reflect the Implications of Current Earnings for Future Earnings', Journal of Accounting and Economics, 13, 305-40

K. C. Chan (1988)

14. `On the Contrarian Investment Strategy', Journal of Business, 61(2), April, 147-63

Navin Chopra

Josef Lakonishok

Jay R. Ritter (1992)

15. `Measuring Abnormal Performance: Do Stocks Overreact?', Journal of Financial Economics, 31, 235-68

Werner F. M. De Bondt

Richard Thaler (1985)

16. `Does the Stock Market Overreact?', Journal of Finance, XL (3), July, 793-805

Bruce N. Lehmann (1990)

17. `Fads, Martingales, and Market Efficiency', Quarterly Journal of Economics, CV(1), February, 1-28

Andrew W. Lo

A. Craig MacKinlay (1990)

18. `When are Contrarian Profits Due to Stock Market Overreaction?', Review of Financial Studies, 3(2), 175-205

PART III ANOMALIES

Rolf W. Banz (1981)

19. `The Relationship between Return and Market Value of Common Stocks', Journal of Financial Economics, 9, 3-18

S. Basu (1977)

20. `Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis', Journal of Finance, XXXII(3), June, 663-82

Stephen J. Brown

William Goetzmann

Roger G. Ibbotson

Stephen A. Ross (1992)

21. `Survivorship Bias in Performance Studies', Review of Financial Studies, 5(4), 553-80

Thomas E. Copeland

David Mayers (1982)

22. `The Value Line Enigma (1965-1978): A Case Study of Performance Evaluation Issues', Journal of Financial Economics, 10, 289-321

Donald B. Keim (1983)

23. `Size-Related Anomalies and Stock Return Seasonality: Further Empirical Evidence', Journal of Financial Economics, 12, 13-32

Josef Lakonishok

Seymour Smidt (1988)

24. `Are Seasonal Anomalies Real? A Ninety-Year Perspective', Review of Financial Studies, 1(4), 403-25

Andrew W. Lo

A. Craig MacKinlay (1990)

25. `Data-Snooping Biases in Tests of Financial Asset Pricing Models', Review of Financial Studies, 3(3), 431-67

Richard Roll (1983)

26. `Vas Ist Das? The Turn-of-the-Year Effect and the Return Premia of Small Firms', Journal of Portfolio Management, 9, Winter, 18-28

Richard Roll (1984)

27. `Orange Juice and Weather', American Economic Review, 74, 861-80

Barr Rosenberg

Kenneth Reid

Ronald Lanstein (1985)

28. `Persuasive Evidence of Market Inefficiency', Journal of Portfolio Management, 11, 9-16

Michael S. Rozeff

William R. Kinney, Jr (1976)

29. `Capital Market Seasonality: The Case of Stock Returns', Journal of Financial Economics, 3, 379-402

Name Index