A non-random walk down Wall Street

Constance Loizos

Here's an interesting case for actively managed mutual funds over index funds. Performance numbers for the active managers would be a lot better if you looked only at nimbler new funds and left out the bloated old ones that are the real underperformers. "Active funds that have been more recently invested outperform in a significant way the active funds that were long ago invested," Wharton School Professor A. Craig MacKinlay observed during the Investment Management Consultants Association conference in San Francisco late last month.
— Investment News

Peter Coy

But markets don't know everything, say the authors of A Non-Random Walk Down Wall Street. People who devote enough time, money, and brain power can beat the market by finding undervalued companies or discovering persistent price patterns, say Lo and MacKinlay. Their profits are "simply the fair reward to breakthroughs in financial technology," they argue.
—Business Week

Business Week

Where are today's exploitable anomalies? Lo and MacKinlay argue that fast computers, chewing on newly available, tick-by-tick feeds of market-transaction data, can detect regularities in stock prices that would have been invisible as recently as five years ago. One example: 'clientele bias,' in which certain stocks are popular with investors who have certain trading styles. A case in point that doesn't take a supercomputer to detect, is day traders' current enthusiasm for Internet stocks. Lo says that day traders tend to overreact to news--whether that news is positive or negative--so it should be possible to profit by taking the opposite side of their trades.
— Peter Coy

Wall Street Journal - Jim Holt

What Andrew W. Lo and A. Craig MacKinlay impressively do . . . [is look] for hard statistical evidence of predictable patterns in stock prices. . . . Here they marshal the most sophisticated techniques of financial theory to show that the market is not completely random after all.

The Independent - Diane Coyle

With all its equations, this book is going to turn out to be a classic text in the theory of finance. But it is also one for practitioners.

BusinessWeek - Peter Coy

Where are today's exploitable anomalies? Lo and MacKinlay argue that fast computers, chewing on newly available, tick-by-tick feeds of market-transaction data, can detect regularities in stock prices that would have been invisible as recently as five years ago. One example: 'clientele bias,' in which certain stocks are popular with investors who have certain trading styles. A case in point that doesn't take a supercomputer to detect, is day traders' current enthusiasm for Internet stocks. Lo says that day traders tend to overreact to news—whether that news is positive or negative—so it should be possible to profit by taking the opposite side of their trades.

Wall Street Journal

What Andrew W. Lo and A. Craig MacKinlay impressively do . . . [is look] for hard statistical evidence of predictable patterns in stock prices. . . . Here they marshal the most sophisticated techniques of financial theory to show that the market is not completely random after all.
— Jim Holt

BusinessWeek

Where are today's exploitable anomalies? Lo and MacKinlay argue that fast computers, chewing on newly available, tick-by-tick feeds of market-transaction data, can detect regularities in stock prices that would have been invisible as recently as five years ago. One example: 'clientele bias,' in which certain stocks are popular with investors who have certain trading styles. A case in point that doesn't take a supercomputer to detect, is day traders' current enthusiasm for Internet stocks. Lo says that day traders tend to overreact to news—whether that news is positive or negative—so it should be possible to profit by taking the opposite side of their trades.
— Peter Coy

The Independent

With all its equations, this book is going to turn out to be a classic text in the theory of finance. But it is also one for practitioners.
— Diane Coyle