Revisiting Random Walk Questions with Newer and Better Tools
I propose the use of Bayesian and Bootstraping Techniques to analyze the efficiency and nearness to a Random Walk of Stock Returns. These tests have greater accuracy than the traditional asymptotic point hypothesis tests performed in the literature, and by providing densities rather than points yield much richer information that is much less likely to mislead.
Richard H. Serlin. 2007. "Revisiting Random Walk Questions with Newer and Better Tools" The SelectedWorks of Richard H. Serlin
Available at: http://works.bepress.com/richard_serlin/6