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Introductory Econometrics for Finance
TLDR
The third edition has been updated with new data, extensive examples and additional introductory material on mathematics, making the book more accessible to students encountering econometrics for the first time as discussed by the authors.Abstract:
This bestselling and thoroughly classroom-tested textbook is a complete resource for finance students. A comprehensive and illustrated discussion of the most common empirical approaches in finance prepares students for using econometrics in practice, while detailed case studies help them understand how the techniques are used in relevant financial contexts. Worked examples from the latest version of the popular statistical software EViews guide students to implement their own models and interpret results. Learning outcomes, key concepts and end-of-chapter review questions (with full solutions online) highlight the main chapter takeaways and allow students to self-assess their understanding. Building on the successful data- and problem-driven approach of previous editions, this third edition has been updated with new data, extensive examples and additional introductory material on mathematics, making the book more accessible to students encountering econometrics for the first time. A companion website, with numerous student and instructor resources, completes the learning package.read more
Citations
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Journal ArticleDOI
Corporate Governance. Strategy. And Supply Management Performance: An Empirical Analysis of Companies Listed in the São Paulo Stock Exchange
TL;DR: In this article, the authors examined whether the corporate governance structures of firms with diversified suppliers differ from those of companies with more specialized or concentrated suppliers and concluded that an independent board of directors correlates with less efficient results due to its significant and positive association with day's sales in inventory ratio.
Dissertation
THe impact of recent regulatory reforms of the rating industry
TL;DR: In this article, the authors investigated the impact of recent regulatory reforms applied to the credit ratings industry in Europe and the US and made several novel contributions to the literature, including critical perspectives on the new regulation, especially in the EU, and whether European Securities Markets Authority (ESMA) rating identifiers affect the quality of ratings.
Dissertation
The Effects of Price Limits on AB-shares on the Shanghai and Shenzhen Stock Exchanges
TL;DR: In this paper, the authors examined the effects of price limits on return, volatility and liquidity by testing three hypotheses: delayed price discovery hypothesis, volatility spillover hypothesis and trading interference hypothesis (Kim and Rhee, 1997, JF).
The Drivers of audit report lag by listed companies in Kenya
TL;DR: In this paper, the authors propose a novel approach to solve the problem of gender discrimination in the workplace, which is based on the concept of gender equality, and propose a solution.
References
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Journal ArticleDOI
A new look at the statistical model identification
TL;DR: In this article, a new estimate minimum information theoretical criterion estimate (MAICE) is introduced for the purpose of statistical identification, which is free from the ambiguities inherent in the application of conventional hypothesis testing procedure.
Estimating the dimension of a model
TL;DR: In this paper, the problem of selecting one of a number of models of different dimensions is treated by finding its Bayes solution, and evaluating the leading terms of its asymptotic expansion.
Journal ArticleDOI
The Pricing of Options and Corporate Liabilities
Fischer Black,Myron S. Scholes +1 more
TL;DR: In this paper, a theoretical valuation formula for options is derived, based on the assumption that options are correctly priced in the market and it should not be possible to make sure profits by creating portfolios of long and short positions in options and their underlying stocks.
Book
Econometric Analysis of Cross Section and Panel Data
TL;DR: This is the essential companion to Jeffrey Wooldridge's widely-used graduate text Econometric Analysis of Cross Section and Panel Data (MIT Press, 2001).
Journal ArticleDOI
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
TL;DR: In this article, a parameter covariance matrix estimator which is consistent even when the disturbances of a linear regression model are heteroskedastic is presented, which does not depend on a formal model of the structure of the heteroSkewedness.