A. Craig Mackinlay

University of Pennsylvania - Finance Department

Joseph P. Wargrove Professor of Finance

The Wharton School

3620 Locust Walk

Philadelphia, PA 19104

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

11

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Scholarly Papers (11)

Asset Pricing Models: Implications for Expected Returns and Portfolio Selection

CRSP Working Paper No. 510; Rodney L. White Center for Financial Research Working Paper No. 019-98
Number of pages: 43 Posted: 27 Aug 1998
A. Craig Mackinlay and Lubos Pastor
University of Pennsylvania - Finance Department and University of Chicago - Booth School of Business
Downloads 1,010 (21,132)

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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: 12 Oct 2010
A. Craig Mackinlay and Lubos Pastor
University of Pennsylvania - Finance Department and University of Chicago - Booth School of Business
Downloads 88 (292,331)
Citation 4

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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: 09 Sep 2008
Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Pennsylvania - Finance Department
Downloads 643 (40,321)
Citation 23

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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: 22 Aug 2010
Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Pennsylvania - Finance Department
Downloads 438 (65,748)
Citation 19

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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: 08 Sep 2010
Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Pennsylvania - Finance Department
Downloads 238 (129,401)

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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: 30 Sep 2010
Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Pennsylvania - Finance Department
Downloads 214 (143,462)

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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: 07 Oct 2010
Andrew W. Lo, A. Craig Mackinlay and June Zhang
Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of Pennsylvania - Finance Department and affiliation not provided to SSRN
Downloads 190 (160,377)

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7.

An Econometric Analysis of Nonsynchronous Trading

NBER Working Paper No. w2960
Number of pages: 39 Posted: 28 Dec 2006 Last Revised: 09 Aug 2010
Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Pennsylvania - Finance Department
Downloads 151 (195,819)
Citation 55

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8.

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 2010
Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Pennsylvania - Finance Department
Downloads 144 (203,563)
Citation 15

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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 2010
Jerry A. Hausman, Andrew W. Lo and A. Craig Mackinlay
Massachusetts Institute of Technology (MIT) - Department of Economics, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Pennsylvania - Finance Department
Downloads 123 (230,513)

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Multifactor Models Do Not Explain Deviations from the CAPM

NBER Working Paper No. w4756
Number of pages: 37 Posted: 11 Nov 2003 Last Revised: 22 Jul 2010
A. Craig Mackinlay
University of Pennsylvania - Finance Department
Downloads 114 (244,903)
Citation 5

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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 - 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 - Finance Department

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