The Econometrics of Financial Markets
本书由三位知名学者合著，用数据分析和经济理论结合的方式，系统讲解金融计量经济学的重要主题，如资产收益可预测性、投资组合自相关、CAPM检验等，适合学生、教师和专业人士参考。
Written by three well-known scholars in the field, this text is an ambitious effort to elucidate a wide range of important topics in financial econometrics using an innovative combination of data analysis and sophisticated economic theory. For the first time, we have available in a single volume a large collection of topics previously found in specialized journals or advanced monographs only. Are asset returns predictable? Why are portfolio returns strongly positively autocorrelated when individual security returns are negatively correlated? Does the CAPM hold? How do we explain the large body of evidence that excess returns on stocks and other risky assets are predictable? These are just a few of the questions raised in the book for which an answer is provided or the state of the art presented. This book is sophisticated, yet accessible; full of details, yet intriguing. At the beginning of each chapter, the authors clearly identify the type of problems they are going to cope with and introduce the necessary analytical tools right after. A careful effort has been made to develop the statistical techniques within the context of particular financial applications. Students are going to like this approach. Instructors will appreciate the attempt to make each chapter as self-contained as possible, leaving them free to choose specified sequences of topics. Professionals will be pleased with the quick and authoritative introductions to important areas of finance.