Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
In this article 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 subperiods for…
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Stock (firearms) · Stock market · Economics · Financial economics · Random walk · Simple (philosophy) · Test (biology) · History
# Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
> OpenAlex Metadata Hub · https://openalex.org/W3123598380
## Bibliographic
- **DOI:** 10.1093/rfs/1.1.41
- **Year:** 1988
- **Citations:** 3795
- **Open Access:** No (closed)
- **License:** —
- **Source:** https://doi.org/10.1093/rfs/1.1.41
## Authors
- Andrew W. Lo
- A. Craig MacKinlay
## Abstract
In this article 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 subperiods for a variety of aggregate returns indexes and size-sorted portfolios. Although the rejections are due largely to the behavior of small stocks, they cannot be attributed completely to the effects of infrequent trading or time-varying volatilities. Moreover, the rejection of the random walk for weekly returns does not support a mean-reverting model of asset prices.
## Keywords
Stock (firearms), Stock market, Economics, Financial economics, Random walk, Simple (philosophy), Test (biology), History, Philosophy, Mathematics
## Concepts
- Stock (firearms)
- Stock market
- Economics
- Financial economics
- Random walk
- Simple (philosophy)
- Test (biology)
- History
- Philosophy
- Mathematics
- Context (archaeology)
- Statistics
- Biology
- Paleontology
- Epistemology
- Archaeology
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*Metadata only — full text not imported unless Open Access license permits.*
Bài “Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test” được TradingBase chuyển thành Knowledge Product cho trader — không phải trang đọc abstract OpenAlex.
Tóm lược học thuật (đã diễn giải): In this article 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 subperiods for a variety of aggregate returns indexes and size-sorted portfolios. Although the rejections are due largely to the behavior of small stocks, they cannot be attributed completely to the effects of infrequent trading or time-varying volatilities. Moreover, the rejection of the random walk for weekly returns does not support a mean-reverting model of asset prices.
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Metadata DOI/OA chỉ là rail tham chiếu; nội dung chính là summary, takeaways và ứng dụng thị trường do Content Factory sinh.
1. In this article we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at different frequencies.
2. The random walk model is strongly rejected for the entire sample period (1962–1985) and for all subperiods for a variety of aggregate returns indexes and size-sorted portfolios.
3. Although the rejections are due largely to the behavior of small stocks, they cannot be attributed completely to the effects of infrequent trading or time-varying volatilities.
4. Moreover, the rejection of the random walk for weekly returns does not support a mean-reverting model of asset prices.
Tài liệu giúp trader hệ thống hóa khái niệm quanh “Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specifica” — ưu tiên chuyển thành checklist quan sát thị trường thay vì copy abstract.
Gắn 1–2 giả thuyết giao dịch có thể kiểm chứng trên journal (entry bias, invalidation, session) trước khi scale size.
Góc Forex: đối chiếu kết luận bài với hành giá gần nhất và lịch tin impact cao trước khi vào lệnh.
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Trading: rút 1 bias hoặc 1 setup hypothesis từ Key Takeaways, test trên demo/journal trước khi live.
Risk: chuyển insight thành rule (max risk/trade, pause quanh tin, correlation USD–vàng) và gắn vào playbook.
