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Journal Article Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test Get access Andrew W. Lo, Andrew W. Lo University of Pennsylvania Search for other works by this author on: Oxford Academic Google Scholar A. Craig MacKinlay A. Craig MacKinlay University of Pennsylvania Search for other works by this author on: Oxford Academic Google Scholar The Review of Financial Studies, Volume 1, Issue 1, January 1988, Pages 41–66, https://doi.org/10.1093/rfs/1.1.41 Published: 03 April 2015
Lo et al. (Fri,) studied this question.