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Multifactor models do not explain deviations from the CAPM
MacKinlay, A. Craig - In: Journal of Financial Economics 38 (1995) 1, pp. 3-28
Persistent link: https://www.econbiz.de/10005372493
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An ordered probit analysis of transaction stock prices
Hausman, Jerry A.; Lo, Andrew W.; MacKinlay, A. Craig - In: Journal of Financial Economics 31 (1992) 3, pp. 319-379
Persistent link: https://www.econbiz.de/10005376614
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Econometric models of limit-order executions
Lo, Andrew W.; MacKinlay, A. Craig; Zhang, June - In: Journal of Financial Economics 65 (2002) 1, pp. 31-71
Persistent link: https://www.econbiz.de/10005376959
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On multivariate tests of the CAPM
MacKinlay, A. Craig - In: Journal of Financial Economics 18 (1987) 2, pp. 341-371
Persistent link: https://www.econbiz.de/10005478027