BOOKS AND MONOGRAPHS

A Non-Random Walk Down Wall Street, with A. Craig MacKinlay, 1999. Princeton, NJ: Princeton University Press.
The Econometrics of Financial Markets, with John Y. Campbell and A. Craig MacKinlay, 1997. Princeton, NJ: Princeton University Press.

Market Efficiency: Stock Market Behaviour In Theory and Practice, Volumes I and II, 1997. London, UK: Edward Elgar Publishing Ltd.

The Industrial Organization and Regulation of the Securities Industry, 1995. Chicago: University of Chicago Press.

A Non-Random Walk Down Wall Street, with A. Craig MacKinlay, 1999. Princeton, NJ: Princeton University Press. The Econometrics of Financial Markets, with John Y. Campbell and A. Craig MacKinlay, 1997. Princeton, NJ: Princeton University Press.
Market Efficiency: Stock Market Behaviour In Theory and Practice, Volumes I and II, 1997. London, UK: Edward Elgar Publishing Ltd.
The Industrial Organization and Regulation of the Securities Industry, 1995. Chicago: University of Chicago Press.