ABSTRACT
Financial Economics and Econometrics provides an overview of the core topics in theoretical and empirical finance, with an emphasis on applications and interpreting results.
Structured in five parts, the book covers financial data and univariate models; asset returns; interest rates, yields and spreads; volatility and correlation; and corporate finance and policy. Each chapter begins with a theory in financial economics, followed by econometric methodologies which have been used to explore the theory. Next, the chapter presents empirical evidence and discusses seminal papers on the topic. Boxes offer insights on how an idea can be applied to other disciplines such as management, marketing and medicine, showing the relevance of the material beyond finance. Readers are supported with plenty of worked examples and intuitive explanations throughout the book, while key takeaways, ‘test your knowledge’ and ‘test your intuition’ features at the end of each chapter also aid student learning.
Digital supplements including PowerPoint slides, computer codes supplements, an Instructor’s Manual and Solutions Manual are available for instructors. This textbook is suitable for upper-level undergraduate and graduate courses on financial economics, financial econometrics, empirical finance and related quantitative areas.
TABLE OF CONTENTS
part I|178 pages
Characteristics of financial data and univariate models
chapter Chapter 1|10 pages
Introduction to financial economics and econometrics
chapter Chapter 2|10 pages
How to write a research paper
chapter Chapter 3|43 pages
The characteristics of financial series
chapter Chapter 4|57 pages
Univariate properties of financial time series
chapter Chapter 5|54 pages
Short-and long-run relationships among time series
part II|186 pages
Asset returns
chapter Chapter 6|60 pages
The efficient market hypothesis and tests
chapter Chapter 7|60 pages
The capital asset pricing model and its variants
chapter Chapter 8|64 pages
Multifactor models and the Arbitrage Pricing Theory
part III|101 pages
Interest rates, yields and spreads
chapter Chapter 9|49 pages
The risks and the term structure of interest rates
chapter Chapter 10|49 pages
Yields, spreads and exchange rates
part IV|97 pages
Volatility and correlation
chapter Chapter 11|49 pages
Volatility modeling and forecasting
chapter Chapter 12|45 pages
Correlation modeling
part V|154 pages
Topics in financial management