skip to content

MacKinlay, Archie Craig 1955-

Overview
Works: 25 works in 159 publications in 2 languages and 3,135 library holdings
Classifications: HG4915, 332.6322
Publication Timeline
Key
Publications about Archie Craig MacKinlay
Publications by Archie Craig MacKinlay
Most widely held works by Archie Craig MacKinlay
A Non-Random Walk Down Wall Street by Andrew W Lo( file )
22 editions published between 1999 and 2008 in English and held by 1,648 libraries worldwide
For over half a century, financial experts have regarded the movements of markets as a random walk--unpredictable meanderings akin to a drunkard's unsteady gait--and this hypothesis has become a cornerstone of modern financial economics and many investment strategies. Here Andrew W. Lo and A. Craig MacKinlay put the Random Walk Hypothesis to the test. In this volume, which elegantly integrates their most important articles, Lo and MacKinlay find that markets are not completely random after all, and that predictable components do exist in recent stock and bond returns. Their book provides a sta
The econometrics of financial markets by John Y Campbell( Book )
16 editions published between 1997 and 2011 in English and held by 824 libraries worldwide
Each chapter develops statistical techniques within the context of a particular financial application. This exciting new text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the random walk hypothesis, as well as problems designed to help readers incorporate what they have read into their own applications
Maximizing predictability in the stock and bond markets by Andrew W Lo( Book )
12 editions published between 1992 and 1996 in English and held by 87 libraries worldwide
We construct portfolios of stocks and of bonds that are maximally predictable with respect to a set of ex ante observable economic variables, and show that these levels of predictability are statistically significant, even after controlling for data-snooping biases. We disaggregate the sources for predictability by using several asset groups, including industry-sorted portfolios, and find that the sources of maximal predictability shift considerably across asset classes and sectors as the return-horizon changes. Using three out-of-sample measures of predictability, we show that the predictability of the maximally predictable portfolio is genuine and economically significant
Econometric models of limit-order executions by Andrew W Lo( Book )
11 editions published between 1997 and 1999 in English and held by 85 libraries worldwide
This paper attempts to assess whether money can generate persistent economic" fluctuations in dynamic general equilibrium models of the business cycle. We show that a small" nominal friction in the goods market can make the response of output to monetary shocks large" and persistent if it is amplified by real wage rigidity in the labor market. We also argue that" given the level of real wage rigidity that is observed in developed countries nominal stickiness might be sufficient for money to produce economic fluctuations as persistent" as those observed in the data
Asset pricing models : implications for expected returns and portfolio selection by Archie Craig MacKinlay( Book )
12 editions published between 1998 and 1999 in English and held by 85 libraries worldwide
Implications of factor-based asset pricing models for estimation of expected returns and for portfolio selection are investigated. In the presence of model mispricing due to a missing risk factor, the mispricing and the residual covariance matrix are linked together. Imposing a strong form of this link leads to expected return estimates that are more precise and more stable over time than unrestricted estimates. Optimal portfolio weights that incorporate the link when no factors are observable are proportional to expected return estimates, effectively using an identity matrix as a covariance matrix. The resulting portfolios perform well both in simulations and in out-of-sample comparisons
Multifactor models do not explain deviations from the CAPM by Archie Craig MacKinlay( Book )
12 editions published between 1993 and 1994 in English and held by 84 libraries worldwide
A number of studies have presented evidence rejecting the validity of the Capital Asset Pricing Model (CAPM). This evidence has spawned research into possible explanations. These explanations can be divided into two main categories - the risk based alternatives and the nonrisk based alternatives. The risk based category includes multifactor asset pricing models developed under the assumptions of investor rationality and perfect capital markets. The nonrisk based category includes biases introduced in the empirical methodology, the existence of market frictions, or explanations arising from the presence of irrational investors. The distinction between the two categories is important for asset pricing applications such as estimation of the cost of capital. This paper proposes to distinguish between the two categories using ex ante analysis. A framework is developed showing that ex ante one should expect that CAPM deviations due to missing risk factors will be very difficult to statistically detect. In contrast, deviations resulting from nonrisk based sources will be easy to detect. Examination of empirical results leads to the conclusion that the risk based alternatives is not the whole story for the CAPM deviations. The implication of this conclusion is that the adoption of empirically developed multifactor asset pricing models may be premature
An ordered probit analysis of transaction stock prices by Jerry A Hausman( Book )
9 editions published in 1991 in English and held by 50 libraries worldwide
We estimate the conditional distribution of trade-to-trade price changes using ordered probit, a statistical model for discrete random variables. Such an approach takes into account the fact that transaction price changes occur in discrete increments, typically eighths of a dollar, and occur at irregularly spaced time intervals. Unlike existing continuous-time/discrete-state models of discrete transaction prices, ordered probit can capture the effects of other economic variables on price changes, such as volume, past price changes, and the time between trades. Using 1988 transactions data for over 100 randomly chosen U.S. stocks, we estimate the ordered probit model via maximum likelihood and use the parameter estimates to measure several transaction-related quantities, such as the price impact of trades of a given size, the tendency towards price reversals from one transaction to the next, and the empirical significance of price discreteness
An econometric analysis of nonsynchronous-trading by Andrew W Lo( Book )
8 editions published between 1989 and 1991 in English and held by 49 libraries worldwide
We develop a stochastic model of nonsynchronous asset prices based on sampling with random censoring. In addition to generalizing existing models of non-trading our framework allows the explicit calculation of the effects of infrequent trading on the time series properties of asset returns. These are empirically testable implications for the variances, autocorrelations, and cross-autocorrelations of returns to individual stocks as well as to portfolios. We construct estimators to quantify the magnitude of non-trading effects in commonly used stock returns data bases and show the extent to which this phenomenon is responsible for the recent rejections of the random walk hypothesis
When are contrarian profits due to stock market overreaction? by Andrew W Lo( Book )
11 editions published between 1989 and 1997 in English and held by 49 libraries worldwide
The profitability of contrarian investment strategies need not be the result of stock market overreaction. Even if returns on individual securities are temporally independent, portfolio strategies that attempt to exploit return reversals may still earn positive expected profits. This is due to the effects of cross-autocovariances from which contrarian strategies inadvertently benefit. We provide an informal taxonomy of return-generating processes that yield positive [and negative] expected profits under a particular contrarian portfolio strategy, and use this taxonomy to reconcile the empirical findings of weak negative autocorrelation for returns on individual stocks with the strong positive autocorrelation of portfolio returns. We present empirical evidence against overreaction as the primary source of contrarian profits, and show the presence of important lead-lag relations across securities
Data-snooping biases in tests of financial asset pricing models by Andrew W Lo( Book )
11 editions published between 1989 and 1997 in English and held by 48 libraries worldwide
Abstract: value of equity. We present both analytical calculations and Monte Carlo simulations
The size and power of the variance ratio test in finite samples a Monte Carlo investigation by Andrew W Lo( Book )
6 editions published between 1987 and 1988 in English and held by 43 libraries worldwide
We examine the finite sample properties of the variance ratio test of the random walk hypothesis via Monte Carlo simulations under two null and three alternative hypotheses. These results are compared to the performance of the Dickey-Fuller t and the Box-Pierce Q statistics. Under the null hypothesis of a random walk with independent and identically distributed Gaussian increments, the empirical size of all three tests are comparable. Under a heteroscedastic random walk null, the variance ratio test is more reliable than either the Dickey-Fuller or Box-Pierce tests. We compute the power of these three tests against three alternatives of recent empirical interest: a stationary AR(1), the sum of this AR(1) and a random walk, and an integrated AR(1). By choosing the sampling frequency appropriately, the variance ratio test is shown to be as powerful as the Dickey-Fuller and Box-Pierce tests against the stationary alternative, and is more powerful than either of the two tests against the two unit-root alternatives
Stock market prices do not follow random walks : evidence from a simple specification test by Andrew W Lo( Book )
6 editions published between 1987 and 1989 in English and held by 38 libraries worldwide
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
Models of the term structure of interest rates by John Y Campbell( Book )
2 editions published in 1994 in English and held by 12 libraries worldwide
Program trading and the behavior of stock index futures prices by Archie Craig MacKinlay( Book )
2 editions published in 1987 in English and held by 8 libraries worldwide
The declining credit quality of US corporate debt : myth or reality by Marshall Blume( Book )
6 editions published between 1996 and 1998 in English and held by 7 libraries worldwide
Let's Beat Diabetes benchmark survey : research report for Let's Beat Diabetes programme Counties Manukau DHB by Allan Wyllie( Book )
2 editions published in 2007 in English and held by 5 libraries worldwide
Order imbalances and stock price movements on October 19 and 20 by Marshall Blume( Book )
1 edition published in 1988 in English and held by 2 libraries worldwide
Fainansu no tameno keiryō bunseki ( Book )
2 editions published in 2003 in Japanese and held by 2 libraries worldwide
A simple specification test of the random walk hypothesis by Andrew W Lo( Book )
1 edition published in 1987 in English and held by 2 libraries worldwide
On multivariate tests of the CAPM by Archie Craig MacKinlay( Book )
2 editions published between 1985 and 1986 in English and held by 2 libraries worldwide
 
moreShow More Titles
fewerShow Fewer Titles
Alternative Names
Mac Kinlay Archie Craig
MacKinlay, A. C.
MacKinlay, A. Craig
MacKinlay, A. Craig 1955-
MacKinlay, A. Craig (Archie Craig), 1955-
MacKinlay, Archie Craig.
MacKinlay, Craig.
MacKinlay, Craig, 1955-
Mc Kinlay Archie Craig
マッキンレイ, A. クレイグ
Languages
English (152)
Japanese (2)
Covers
Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.