Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test." Lo, Andrew W. and A. Craig MacKinlay. Review of Financial Studies Vol. 1, No. 1 (1988): 41–66.
Statistical Tests of Contingent Claims Asset-Pricing Models: A New Methodology." Lo, Andrew W. Journal of Financial Economics Vol. 17, No. 1 (1986): 143–173.
Logit Versus Discriminant Analysis: A Specification Test with Applications to Corporate Bankruptcies." Lo, Andrew W. Journal of Econometrics Vol. 31, No. 2 (1986): 151–178.
A Large-Sample Chow Test for the Single Linear Simultaneous Equation." Lo, Andrew W. and Whitney Newey. Economics Letters Vol. 18, No. 4 (1985): 351–353.
How Sovereign is Sovereign Credit Risk?" Longstaff, Francis A., Jun Pan, Lasse H. Pedersen and Kenneth J. Singleton. American Economic Journal: Macroeconomics Vol. 3, No. 2 (2011): 75-103.
Volatility Information Trading in the Option Market." Ni, Sophie X., Jun Pan and Allen M. Poteshman. Journal of Finance Vol. 63, No. 3 (2008): 1059-1091.
The Information in Option Volume for Future Stock Prices." Pan, Jun, and Allen M. Poteshman. Review of Financial Studies Vol. 19, No. 3 (2006): 871-908.
