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
The Dynamics of Commodity Spot and Futures Markets: A Primer
TL;DR: In this paper, the authors discuss the short run dynamics of commodity prices, production, and inventories, as well as the sources and effects of market volatility, and illustrate these ideas with data for the petroleum complex over the past two decades.
Journal ArticleDOI
Are Investors Influenced By How Earnings Press Releases Are Written
TL;DR: In this article, a rhetorical analysis of the genre of earnings press releases is performed, and a quantitative analysis uses capital markets data to assess the investor impact of tone and othe...
Posted Content
Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates
Eric T. Swanson,John C. Williams +1 more
TL;DR: The authors measured the effects of the zero lower bound on interest rates of any maturity by comparing the sensitivity of those interest rates to macroeconomic news when short-term interest rates were very low to that during normal times.
Journal ArticleDOI
Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods
Ulrich Homm,Jörg Breitung +1 more
TL;DR: In this article, the authors propose several tests for rational bubbles and investigate their power properties, focusing on the case where bubble detection is reduced to testing for an unknown change from a random walk to an explosive process.
Journal ArticleDOI
Betting on Hitler—The Value of Political Connections in Nazi Germany
TL;DR: This article examined the value of connections between German industry and the Nazi movement in early 1933 and found that one out of seven firms, and a large proportion of the biggest companies, had substantive links with the National Socialist German Workers' Party.
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.