Financial Economics and Econometrics

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Laopodis, Nikiforos T.

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ISBN:9781032070179
Editorial: Routledge
Fecha de la edición:2021
Encuadernación:
Nº Pág.:766
Idiomas:Ingles,Inglés

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/ Sistema Financiero

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 Instructors 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