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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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Do women in top management affect firm performance? Evidence from Indonesia
TL;DR: In this article, the authors investigated the relationship between gender diversity on management boards and financial performance of Indonesian listed companies and found that the representation of female top executives is negatively related to both accounting and market performance, suggesting that female representation is not associated with improved level of performance.
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The Influence of Environmental, Social, and Governance (ESG) Disclosure on Firm Financial Performance
Raisa Almeyda,Asep Darmansya +1 more
TL;DR: In this paper, the authors conducted research on companies in the real estate sector since its longterm nature of investment is aligned with long-term ESG goals and found that there is a statistically significant positive relationship between the Environmental factor towards the firm's ROC and stock price.
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The influence of lock-up provisions on IPO initial returns: Evidence from an emerging market
TL;DR: In this paper, the authors examined whether the lock-up ratio and lockup period affect the initial returns, using a sample of 384 IPOs listed on Bursa Malaysia between 2000 and 2012.
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The path from big data to precision medicine
TL;DR: Precision medicine aims to combine comprehensive data collected over time about an individual’s genetics, environment, and lifestyle, to advance disease understanding and interception, aid drug discovery, and ensure delivery of appropriate therapies.
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Trust, owner rights, employee rights and firm performance
TL;DR: This article found that both country trust and firm trust increase firm performance, but that there is a trade-off between the two as high levels of both levels of trust reduce performance, while both employee rights and investor rights are negatively correlated with country trust.
References
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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.
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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.