References

Chapters in this book

1. Frontmatter i
2. Contents vii
3. List of Figures xiii
4. List of Tables xv
5. Preface xvii
6. The Econometrics of Financial Markets 1
7. 1. Introduction 3
8. 2. The Predictability of Asset Returns 27
9. 3. Market Microstructure 83
10. 4. Event-Study Analysis 149
11. 5. The Capital Asset Pricing Model 181
12. 6. Multifactor Pricing Models 219
13. 7. Present-Value Relations 253
14. 8. Intertemporal Equilibrium Models 291
15. 9. Derivative Pricing Models 339
16. 10. Fixed-Income Securities 395
17. 11. Term-Structure Models 427
18. 12. Nonlinearities in Financial Data 467
19. Appendix 527
20. References 541
21. Author Index 587
22. Subject Index 597