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
Collective behavior of cryptocurrency price changes
TL;DR: The cross correlation matrix exhibits non-trivial hierarchical structures and groupings of cryptocurrency pairs, which are not present in the partial cross correlations, in sharp contrast to the predictions for other financial markets.
Journal ArticleDOI
The Seasoned‐Equity Issues of UK Firms: Market Reaction and Issuance Method Choice
Edel Barnes,Martin Walker +1 more
TL;DR: In this paper, the authors examined the seasoned equity issues of companies traded on the London Stock Exchange and examined the choice of seasoned equity issuance method, focusing on the choice between placings versus rights issues.
Journal ArticleDOI
Shipping markets in turmoil: An analysis of the Covid-19 outbreak and its implications
TL;DR: In this paper, the authors examined the impact of exogenous effects in the shipping industry by employing data from the recent Covid-19 pandemic outbreak and explore the reactions of freight rates for dry bulk, clean, and dirty tankers.
Journal ArticleDOI
Detecting Changes in Water Quality Data
Posted Content
Asset Pricing Theory and the Valuation of Canadian Paintings
Douglas J. Hodgson,Keith Vorkink +1 more
TL;DR: The authors applied standard asset pricing theory, as incorporated in the capital asset pricing model (CAPM), to the analysis of price movements in the market for Canadian paintings, using a sample of auction prices for major Canadian painters for the period 1968-2001.
References
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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.