Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test
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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
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美国国家经济研究局创建时间：
1987-02-01
