Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test
收藏NBER1987-02-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w2168
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
1987-02-01
