A. Craig Mackinlay

University of Pennsylvania - The Wharton School, Finance Department

Joseph P. Wargrove Professor of Finance

The Wharton School

3620 Locust Walk

Philadelphia, PA 19104

United States

  • University of Pennsylvania - The Wharton School, Finance Department

    • Email
    • Tel: 215-898-5309
SCHOLARLY PAPERS

11

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Scholarly Papers (11)

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1.

Asset Pricing Models: Implications for Expected Returns and Portfolio Selection

Downloads 1,240 (29,251)
Citation 69

Asset Pricing Models: Implications for Expected Returns and Portfolio Selection

Number of pages: 43 Posted: 27 Aug 1998
A. Craig Mackinlay and Lubos Pastor
University of Pennsylvania - The Wharton School, Finance Department and University of Chicago - Booth School of Business
Downloads 1,071 (35,536)

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Asset Pricing Models: Implications for Expected Returns and Portfolio Selection

NBER Working Paper No. w7162
Number of pages: 41 Posted: 12 Jul 2000 Last Revised: 29 Jul 2022
A. Craig Mackinlay and Lubos Pastor
University of Pennsylvania - The Wharton School, Finance Department and University of Chicago - Booth School of Business
Downloads 169 (301,436)
Citation 13

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2.

Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

NBER Working Paper No. w2168
Number of pages: 47 Posted: 25 Jul 2007 Last Revised: 05 Dec 2022
Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Pennsylvania - The Wharton School, Finance Department
Downloads 949 (42,859)
Citation 132

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3.

When are Contrarian Profits Due to Stock Market Overreaction?

NBER Working Paper No. w2977
Number of pages: 41 Posted: 27 Apr 2000 Last Revised: 20 Feb 2022
Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Pennsylvania - The Wharton School, Finance Department
Downloads 579 (82,028)
Citation 103

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4.

The Size and Power of the Variance Ratio Test in Finite Samples: a Monte Carlo Investigation

NBER Working Paper No. t0066
Number of pages: 41 Posted: 16 Jul 2004 Last Revised: 09 Mar 2023
Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Pennsylvania - The Wharton School, Finance Department
Downloads 387 (132,988)

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5.

Maximizing Predictability in the Stock and Bond Markets

NBER Working Paper No. w5027
Number of pages: 60 Posted: 25 Jul 2000 Last Revised: 28 Sep 2022
Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Pennsylvania - The Wharton School, Finance Department
Downloads 306 (171,382)
Citation 4

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6.

Econometric Models of Limit-Order Executions

NBER Working Paper No. w6257
Number of pages: 66 Posted: 24 Jul 2000 Last Revised: 11 Apr 2022
Andrew W. Lo, A. Craig Mackinlay and June Zhang
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, University of Pennsylvania - The Wharton School, Finance Department and affiliation not provided to SSRN
Downloads 290 (181,323)

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7.

Data-Snooping Biases in Tests of Financial Asset Pricing Models

NBER Working Paper No. w3001
Number of pages: 41 Posted: 27 Apr 2000 Last Revised: 15 Sep 2022
Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Pennsylvania - The Wharton School, Finance Department
Downloads 227 (231,211)
Citation 48

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8.

An Econometric Analysis of Nonsynchronous Trading

NBER Working Paper No. w2960
Number of pages: 39 Posted: 28 Dec 2006 Last Revised: 05 Aug 2022
Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Pennsylvania - The Wharton School, Finance Department
Downloads 213 (245,408)
Citation 4

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9.

An Ordered Probit Analysis of Transaction Stock Prices

NBER Working Paper No. w3888
Number of pages: 74 Posted: 27 Dec 2006 Last Revised: 18 Aug 2022
Jerry A. Hausman, Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Department of Economics, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and University of Pennsylvania - The Wharton School, Finance Department
Downloads 173 (295,628)
Citation 3

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10.

Multifactor Models Do Not Explain Deviations from the CAPM

Downloads 139 (354,198)
Citation 9

Multifactor Models Do Not Explain Deviations from the CAPM

NBER Working Paper No. w4756
Number of pages: 37 Posted: 11 Nov 2003 Last Revised: 01 Jan 2023
A. Craig Mackinlay
University of Pennsylvania - The Wharton School, Finance Department
Downloads 139 (354,989)
Citation 9

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Multifactor Models Do Not Explain Deviations from the CAPM

Rodney L. White Center Working Paper, 1994
Posted: 07 Sep 1999
A. Craig Mackinlay
University of Pennsylvania - The Wharton School, Finance Department

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11.

The Declining Credit Quality of Us Corporate Debt: Myth or Reality?

Rodney L. White Center for Financial Research Working Paper #3-98
Posted: 13 Nov 1996
Marshall E. Blume, Felix Lim and A. Craig Mackinlay
University of Pennsylvania - Finance Department, University of Pennsylvania - Finance Department and University of Pennsylvania - The Wharton School, Finance Department

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