Open AccessBook
The econometrics of financial markets
TLDR
In this paper, Campbell, Lo, and MacKinlay present an attempt by three well-known and well-respected scholars to fill an acknowledged void in the empirical finance literature, a text covering the burgeoning field of empirical finance.Abstract:
This book is an ambitious effort by three well-known and
well-respected scholars to fill an acknowledged void in the
literature—a text covering the burgeoning field of empirical finance.
As the authors note in the preface, there are several excellent books
covering financial theory at a level suitable for a Ph.D. class or as
a reference for academics and practitioners, but there is little or
nothing similar that covers econometric methods and applications.
Perhaps the closest existing text is the recent addition to the Wiley
Series in Financial and Quantitative Analysis. written by Cuthbertson
(1996). The major difference between the books is that Cuthbertson
focuses exclusively on asset pricing in the stock, bond, and foreign
exchange markets, whereas Campbell, Lo, and MacKinlay (henceforth CLM)
consider empirical applications throughout the field of finance,
including corporate finance, derivatives markets, and market
microstructure. The level of anticipation preceding publication
can be partly measured by the fact that at least three reviews
(including this one) have appeared since the book arrived. Moreover,
in their reviews, both Harvey (1998) and Tiso (1998) comment on the
need for such a text, a sentiment that has been echoed by numerous
finance academics.read more
Citations
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Journal ArticleDOI
Time-series and cross-sectional excess comovement in stock indexes
TL;DR: In this article, the authors investigate the excess comovement among 82 industry indexes in the U.S. stock market between January 5, 1976 and December 31, 2001 and show that the excess covariation between two assets beyond what can be explained by fundamental factors is statistically significant and represents an economically significant portion of the average gross square return correlation.
Journal ArticleDOI
The pricing effect of certification on syndicated loans
TL;DR: In this article, the authors test whether a delegated monitor can certify its ability to perform its assigned tasks, and test whether syndicated loans in which a larger share of the facility is retained by the arranger have lower interest rates.
Journal ArticleDOI
Asset Price Dynamics in Partially Segmented Markets
TL;DR: Green Greenwood, Robin, Samuel G. Hanson, and Gordon Y. Liao as mentioned in this paper studied asset price dynamics in partially segmented markets and found that asset prices in partially-segmented markets are correlated with system shocks.
Journal ArticleDOI
Informed Trading and Portfolio Returns
TL;DR: In this article, a multi-period model of strategic trading with long-lived information in multiple assets with correlated innovations in fundamental values is proposed, where market makers in each asset can only condition their price functions on trading in the that asset, but not on trading on the other asset.
Journal ArticleDOI
Conducting event studies with Asia-Pacific security market data
TL;DR: In this article, the authors investigate the effectiveness of several well-known parametric and non-parametric event study test statistics with security price data from the major Asia-Pacific security markets.
References
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Posted Content
An Econometric Analysis of Nonsynchronous Trading
Andrew W. Lo,A. Craig MacKinlay +1 more
TL;DR: In this article, a stochastic model of nonsynchronous asset prices based on sampling with random censoring is developed to estimate the effects of infrequent trading on the time series properties of asset returns.
Book
An Econometric Analysis of Nonsynchronous Trading
Andrew W. Lo,A. Craig MacKinlay +1 more
TL;DR: In this paper, a stochastic model of nonsynchronous asset prices based on sampling with random censoring is developed, which allows the explicit calculation of the effects of infrequent trading on the time series properties of asset returns.
Journal ArticleDOI
An ordered probit analysis of transaction stock prices
TL;DR: In this paper, the authors estimate the conditional distribution of trade-to-trade price changes using ordered probit, a statistical model for discrete random variables, recognizing that transaction price changes occur in discrete increments, typically eighths of a dollar, and occur at irregularly-spaced time intervals.
Book
Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange
Keith Cuthbertson,Dirk Nitzsche +1 more
TL;DR: This new edition of the hugely successful Quantitative Financial Economics has been revised and updated to reflect the most recent theoretical and econometric/empirical advances in the financial markets as discussed by the authors.
Posted Content
Implementing option pricing models when asset returns are predictable
Andrew W. Lo,Jiang Wang +1 more
TL;DR: In this article, the authors propose a class of continuous-time linear diffusion processes for asset prices that can capture a wider variety of predictability, and provide several numerical examples that illustrate their importance for pricing options and other derivative assets.