The articles track the exciting course of Lo and MacKinlay's research on the predictability of stock prices from their early work on rejecting random walks in short-horizon returns to their analysis of long-term memory in stock market prices. A particular highlight is their now-famous inquiry into the pitfalls of "data-snooping biases" that have arisen from the widespread use of the same historical databases for discovering anomalies and developing seemingly profitable investment strategies. This book invites scholars to reconsider the Random Walk Hypothesis, and, by carefully documenting the presence of predictable components in the stock market, also directs investment professionals toward superior long-term investment returns through disciplined active investment management.

Several statistical studies have made it clear that the
markets are not completely random as asserted by much of the
academic economics community. It is impossible to prove or
refute the Efficient Markets Hypothesis, because, as Farmer
puts it, the EMH, by itself, is not a well-posed and
empirically refutable hypothesis. This book tries to
rigorously analyze the markets as they are.

The average investor could easily reach the same conclusions
as Burton Malkiel strives for, namely that he is best off
investing in an index fund. However, they do it in a more
interesting fashion than simply asserting that, on average,
one cannot beat the average.

Some readers seem to be disappointed at this book by naively assuming what the title implies, as shown by some of the reviews here. They really can't blame anyone but themselves. Just because Burton Malkiel's classic didn't show us how to day trade doesn't mean a book with the opposite title will do so, nor did the authors ever claim that, either.