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Use the Lo and Maclinlay (1988) method to test the Random Walk theory for 2-, 4-, 8- and 16-day returns for the following index respectively
- Use the Lo and Maclinlay (1988) method to test the Random Walk theory for 2-, 4-, 8- and 16-day returns for the following index respectively. Use the last five years daily return.
- Russell 1000 Growth (R.1000G)
- Russell 1000 Value (R.1000V)
2. Run the test and write the interpretation in an Excel file. Compare the results for two indices. Explain why there is a difference or no difference.
please do in in excel sheet too thank you
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Pricing Analytics Models And Advanced Quantitative Techniques For Product Pricing
Authors: Walter R. Paczkowski
1st Edition
1138623938, 9781138623934
