This is the complete text of the acceptance speech delivered by Andrew W. Lo, one of the winners of the 1997 Paul A. Samuelson Award. This award ceremony took place during the ASSA Annual Conference, which was held in Chicago on this year.
Professor Lo, along with John Campbell and A. Craig MacKinlay, won for their book entitled The Econometrics of Financial Markets (Princeton University Press, 1997). Professor Lo offers that the reason he chose to specialize in this field is that financial models comprise the most natural applications of econometrics because uncertainty is an afterthought, an error term slapped onto an otherwise deterministic relationship.
