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
History As Reflected In Capital Markets: The Case of World War II
Bruno S. Frey,Marcel Kucher +1 more
TL;DR: In this article, the authors analyzed the change in the values of national government bonds issued in Swiss Francs and traded on the Swiss bourse during the period 1933 to 1946, taking into account the time span between Hitler's rise to power (with his appointment as chancellor of the Reich on 30 January 1933) and the redevelopment of Europe after the war.
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Stock Selection, Style Rotation, and Risk
TL;DR: In this paper, the authors show that the impact of firm-specific characteristics like size and book-to-price on future excess stock returns varies considerably over time and investigate whether the partial predictability signals security mispricing or risk compensation.
Journal ArticleDOI
Regulating the united states railroads: the effects of sunk costs and asymmetric risk
TL;DR: In this article, the authors estimate how large the mistakes can be by applying a real options approach that takes into account the effect of sunk costs, irreversible investment, and asymmetric returns.
Journal ArticleDOI
Stock market efficiency in China: Evidence from the split-share reform☆
TL;DR: In this paper, the authors investigate the efficiency of the Chinese stock market and find evidence of positive abnormal returns in the few days before announcement of which companies will undergo the reform process, that can be explained by information leakage and not by a compensation risk premium, and in the ten days after the readmission to trading of participating companies following the determination of the compensation.
Journal ArticleDOI
Stock return predictability and the dispersion in earnings forecasts
TL;DR: In this paper, the authors show that the dispersion in forecasts has particularly strong predictive power for future aggregate stock returns at intermediate horizons, regardless of whether Newey-West or Hodrick corrected t-statistics are used.
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.