The Econometrics of Financial Markets

by Campbell, Lo, and MacKinlay

Princeton University Press, 1996

List Price $105.00, Estima's Price $85.00

As the title indicates, this book focuses on the application of econometric techniques in the realm of financial markets. Geared towards PhD students, advanced MBA students, and financial industry professionals, it tackles everything from CAPM and Arbitrage models, to interest rate structures, ARCH models, and chaos theory. Just over 600 pages, hardbound.

Contents

1. Introduction
2. The Predictability of Asset Returns
3. Market Microstructure
4. Event-Study Analysis
5. The Capital Asset Pricing Model
6. Multifactor Pricing Models
7. Present-Value Relations
8. Intertemporal Equilibrium Models
9. Derivative Pricing Models
10. Fixed-Income Securities
11. Term-Structure Models
12. Nonlinearities in Financial Data

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