The Econometrics of Fin Markets.pdf

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1、TheEconometricsofFinancialMarketsJohnY.CampbellAndrewW.LoA.CraigMacKinlayPrincetonUniversityPressPrinceton,NewJerseyContentsListofFiguresxiiiListofTablesxvPrefacexvii1Introduction31.1OrganizationoftheBook..................41.2UsefulBackground......................61.2.1MathematicsBac

2、kground..............61.2.2ProbabilityandStatisticsBackground........61.2.3FinanceTheoryBackground.............71.3Notation............................81.4Prices,Returns.andCompounding.............91.4.1DefinitionsandConventions.............91.4.2TheMarginal,Conditional.andJointDistr

3、ibutionofReturns........................131.5MarketEfficiency.......................201.5.1EfficientMarketsandtheLawofIteratedExpectations......................221.5.2IsMarketEfficiencyTestable?............242ThePredictabilityofAssetReturns272.1TheRandomWalkHypotheses...............2

4、82.1.1TheRandomWalk1:IIDIncrements........312.1.2TheRandomWalk2:IndependentIncrements..322.1.3TheRandomWalk3:UncorrelatedIncrements..332.2TestsofRandomWalk1:IIDIncrements..........332.2.1TraditionalStatisticalTests..............332.2.2SequencesandReversals,andRuns.........34...vlllCo

5、ntentsContents2.3TestsofRandomWalk2:IndependentIncrements....414.3.3OtherStatisticalModels...............1552.3.1FilterRules......................424.3.4EconomicModels...................1562.3.2TechnicalAnalysis...................434.4MeasuringandAnalyzingAbnormalReturns........1572.

6、4TestsofRandomWalk3:UncorrelatedIncrements....444.4.1EstimationoftheMarketModel...........1582.4.1AutocorrelationCoefficients.............444.4.2StatisticalPropertiesofAbnormalReturns.....1592.4.2PortmanteauStatistics................474.4.3AggregationofAbnormalReturns..........1602.4

7、.3VarianceRatios....................484.4.4SensitivitytoNormalReturnModel.........1622.5Long-HorizonReturns....................554.4.5CARSfortheEarnings-AnnouncementExample..1632.5.1ProblemswithLong-HorizonInferences......574.4.6InferenceswithClustering..............1662.6TestsForLon

8、g-RangeDepen