Economics, Econometrics and Finance
4 years ago

Stock Market Prices Proven to Not Follow Random Walks: What's Next?

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Review of Financial Studies
Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
Andrew W. Lo, A. Craig MacKinlay

Paper Summary

Stock market prices do not follow random walks. Researchers tested this by using a simple specification test. They found evidence that contradicts the idea of stock prices moving randomly.

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