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MacKinlay, Archie Craig 1955-

Overview
Works: 31 works in 213 publications in 2 languages and 4,045 library holdings
Roles: Author
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Publications about Archie Craig MacKinlay
Publications by Archie Craig MacKinlay
Most widely held works by Archie Craig MacKinlay
The econometrics of financial markets by John Y Campbell( Book )
24 editions published between 1996 and 2012 in English and held by 910 libraries worldwide
This graduate-level textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including the predictability of asset returns, tests of the random walk hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory
An ordered probit analysis of transaction stock prices by Jerry A Hausman( Book )
15 editions published in 1991 in English and held by 41 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
When are contrarian profits due to stock market overreaction? by Andrew W Lo( Book )
12 editions published between 1989 and 1991 in English and held by 35 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 1991 in English and held by 32 libraries worldwide
Abstract: value of equity. We present both analytical calculations and Monte Carlo simulations
An econometric analysis of nonsynchronous-trading by Andrew W Lo( Book )
10 editions published between 1989 and 1991 in English and held by 32 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
Stock market prices do not follow random walks : evidence from a simple specification test by Andrew W Lo( Book )
10 editions published between 1987 and 1989 in English and held by 25 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 )
5 editions published in 1994 in English and held by 14 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 8 libraries worldwide
Program trading and the behavior of stock index futures prices by Archie Craig MacKinlay( Book )
1 edition published in 1987 in English and held by 5 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 4 libraries worldwide
Fainansu no tameno keiryō bunseki ( Book )
2 editions published in 2003 in Japanese and held by 3 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
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
Asset pricing models : implications for expected returns and portfolio selection by Archie Craig MacKinlay( Book )
1 edition published in 1998 in English and held by 1 library worldwide
 
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Alternative Names
Craig MacKinlay, Archie 1955-
Kinlay, Archie Craig Mac 1955-
Mac Kinlay Archie Craig
Mac Kinlay, Archie Craig 1955-
MacKinlay, A. C.
MacKinlay, A. C. 1955-
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
McKinlay, Archie Craig 1955-
マッキンレイ, A. クレイグ
Languages
English (99)
Japanese (2)
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