The econometrics of financial markets

Frontmatter -- Contents -- List of Figures -- List of Tables -- Preface -- The Econometrics of Financial Markets -- 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 -- Appendix -- References -- Author Index -- Subject Index