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这是 学习《金融市场计量经济学》的讲义和三篇重要阅读文献，其中两篇是FAMA，1988和1996发表的，1996年的题目是Multifactor Explanations of asset pricing anomolies;1988年的题目是Permanent and temporary components of stock prices；有一篇是Andrew W. Lo 1988年发表的，该文的摘要为：
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 subperiod for a variety of aggregate returns indexes and size-sorted portofolios.
Although the rejections are due largely to the behavior of small stocks, they cannot be attributed completely
to the effects of infrequent trading or timevarying volatilities. Moreover, the rejection of the random walk for weekly returns does not support a mean-reverting model of asset prices.
73556.rar
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本附件包括：- 02 fama french 88 JPE.pdf
- fama,1996.pdf
- 02 Lo MacKinlay, Stock Market Prices Do Not88 RFS.pdf
- lecturenotes.pdf
[此贴子已经被作者于2006-11-21 16:46:36编辑过]
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