Financial economics and econometrics

Table of Contents: 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 book is an overview of the core topics in theoretical and empirical finance, with an emphasis on understanding and interpreting results. The book covers the financial data and univariate models; asset returns; interest rates, yields and spreads; volatility and correlation; and corporate finance and policy. The book begins with a theory in financial economics, and then delves into econometric methodologies used to explore the theory. Empirical evidence is presented, and each chapter also contains boxes with examples of how the material can be applied to other disciplines such as management, marketing, and medicine. Worked examples, intuitive explanations, key takeaways, and 'test your knowledge' and 'test your intuition' features are included to aid student learning. This textbook is suitable for students on financial economics, financial econometrics, empirical finance, and related quantitative areas.