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
A novel algorithm for prediction of crude oil price variation based on soft computing
Ali Ghaffari,Samaneh Zare +1 more
TL;DR: It is shown that for several randomly selected durations, the true prediction is considerably higher than the result of most recent published prediction algorithms.
Journal ArticleDOI
Bond risk, bond return volatility, and the term structure of interest rates
Luis M. Viceira,Luis M. Viceira +1 more
TL;DR: In this paper, the authors explore the time variation in the bond risk, as measured by the covariation of bond returns with stock returns and consumption growth, and in the volatility of bond return.
Journal ArticleDOI
The Changing Relationship Between Job Loss Announcements and Stock Prices: 1970-1999
Henry S. Farber,Kevin F. Hallock +1 more
TL;DR: This paper studied the reaction of stock prices to announcements of reductions in force (RIFs) using a sample of 4273 such announcements in 1160 large firms during the 1970-99 period collected from the Wall Street Journal and found that the distribution of stock market reactions shifted to the right (became less negative) over time.
Journal ArticleDOI
Parameter Uncertainty in Portfolio Selection: Shrinking the Inverse Covariance Matrix
TL;DR: In this paper, the authors proposed a new estimation framework that focuses on enhancing portfolio performance by applying the statistical methodology of shrinkage directly to the inverse covariance matrix using two non-parametric methods.
Posted Content
Uncovering the Risk-Return Relation in the Stock Market
TL;DR: In this article, the authors develop and estimate an empirical model based on the ICAPM to investigate the relation between risk (conditional variance) and return (expected returns) in the aggregate stock market.
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.