Frontmatter Contents List of Figures List of Tables Preface 1. Introduction Part I 2. Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test 3. The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation 4. An Econometric Analysis of Nonsynchronous Trading 5. When Are Contrarian Profits Due to Stock Market Overreaction? 6. Long-Term Memory in Stock Market Prices Part II 7. Multifactor Models Do Not Explain Deviations from the CAPM 8. Data-Snooping Biases in Tests of Financial Asset Pricing Models 9. Maximizing Predictability in the Stock and Bond Markets Part III 10. An Ordered Probit Analysis of Transaction Stock Prices 11. Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices 12. Order Imbalances and Stock Price Movements on October 19 and 20, 1987 References Index
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