Financial Economics and Econometrics
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.
Part I Characteristics of financial data and univariate models 1. Introduction to Financial Economics and Econometrics 2. How to Write a Research Paper 3. The Characteristics of Financial Series 4. Univariate Properties of Financial Time Series 5. Short- and Long-run Relationships among Time Series Part II Asset returns 6. The Efficient Market Hypothesis and Tests 7. The Capital Asset Pricing Model and its Variants 8. Multifactor Models and the Arbitrage Pricing Theory Part III Interest rates, yields and spreads 9. The Risks and the Term Structure of Interest Rates 10. Yields, Spreads and Exchange Rates Part IV Volatility and correlation 11. Volatility Modeling and Forecasting 12. Correlation Modeling Part V Topics in financial management 13. Capital Structure and Dividend Decisions 14. Mergers, acquisitions and corporate restructurings 15. Contemporary Topics in Financial Economics
"This unique textbook combines financial economics and financial econometrics at the theoretical and empirical standpoints. One additional novelty is the boxes demonstrating the linkages between Financial Economics/Econometrics with other disciplines such as Management and Marketing. The Computer Codes supplement (for Eviews, RATS, Stata and SPSS) is essential to students who wish to apply the econometric methodologies featured in the book. In all, this textbook can be required reading for undergraduate courses in other Business disciplines, MBA students as well as for financial professionals."
Eleftheria Kostika, Bank of Greece
"An in-depth and contemporary guide to empirical research in finance. This book is well-written and organized and is excellent reading for not only finance students but practitioners and those with an interest in financial data analysis. The topics this book covers are very contemporary and range from corporate finance and asset pricing to cryptocurrencies and fintech. For each topic covered, the book contains a plethora of examples and applications to real-world data."
Dimitrios Koutmos, Texas A&M University, USA
"The book is comprehensive starting from financial data calculations to most recent econometric developments and contemporary topics in financial economics. The author makes complex material understandable and provides examples with all popular econometric software. This book is a foundation stone for every economist who wants to learn and fully understand the dynamically expanding field of financial econometrics and appreciate the current issues in financial economics. Also, for anyone who has to teach finance and investments, this book is to be recommended."
Konstantinos Syriopoulos, Zayed University, United Arab Emirates