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
More filters
Journal ArticleDOI
Creditor Control Rights, Corporate Governance, and Firm Value
TL;DR: In this article, the authors examine the SEC filings of all U.S. nonfinancial firms from 1996 through 2008 and find that between 10 percent and 20 percent of firms report being in violation of a financial covenant in a credit agreement.
Journal ArticleDOI
Asset Pricing at the Millennium
TL;DR: A recent survey of the field of asset pricing can be found in this article, where the emphasis is on the interplay between theory and empirical work and on the trade-off between risk and return.
Journal ArticleDOI
What do we know about the profitability of technical analysis
Cheol Ho Park,Scott H. Irwin +1 more
TL;DR: In this article, the authors reviewed the evidence on the profitability of technical analysis and categorized the empirical literature into two groups, early and modern studies, according to the characteristics of testing procedures, and found that technical trading strategies are profitable in foreign exchange markets and futures markets, but not in stock markets.
Journal ArticleDOI
Optimal Portfolio Choice for Long‐Horizon Investors with Nontradable Labor Income
TL;DR: In this paper, the authors examined how risky labor income and retirement affect optimal portfolio choice and found that the optimal allocation to stocks is unambiguously larger for employed investors than for retired investors, consistent with the typical recommendations of investment advisors.
Journal ArticleDOI
Long-horizon regressions: theoretical results and applications
TL;DR: This article used asymptotic arguments to show that the t-statistics in long-horizon regressions do not converge to well-defined distributions and that the ordinary least squares estimator is not consistent and the R2 is an inadequate measure of the goodness of fit.
References
More filters
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.