"An Ordered Probit Analysis of Transaction Stock Prices."

Hausman, Jerry A., Andrew W. Lo and A. Craig MacKinlay. Journal of Financial Economics Vol. 31, No. 3 (1992): 319–379.

"Empirical Issues in the Pricing of Options and Other Derivative Securities."

Lo, Andrew W. Cuadernos Economicos de ICE Vol. 50, No. 1 (1992): 129-155.

"Long-Term Memory in Stock Market Prices."

Lo, Andrew W. Econometrica Vol. 59, No. 5 (1991): 1279–1313.

"An Econometric Analysis of Nonsynchronous Trading."

Lo, Andrew W. and A. Craig MacKinlay. Journal of Econometrics Vol. 45, No. 1-2 (1990): 181–212.

"Data Snooping Biases in Tests of Financial Asset Pricing Models."

Lo, Andrew W. and A. Craig MacKinlay. Review of Financial Studies Vol. 3, No. 3 (1990): 431–468.

"When Are Contrarian Profits Due To Stock Market Overreaction?"

Lo, Andrew W. and A. Craig MacKinlay. Review of Financial Studies Vol. 3, No. 2 (1990): 175–206.