The Econometrics of Financial Markets

Provides an introduction to the field of financial econometrics, focusing on U.S. domestic asset markets. Discusses models for predicting asset returns from their own past history; the microstructure of stock markets and how it affects the short-run behavior of returns; event-study analysis; the capital asset pricing model; multifactor pricing models; present-value relations; intertemporal equilibrium models; derivative pricing models; fixed-income securities; term-structure models; and nonlinearities in financial data. Chapters include problems. Campbell is at Harvard University. Lo is at the Sloan School of Management, Massachusetts Institute of Technology. MacKinlay is at the University of Pennsylvania. Author and subject indexes.