Financial Economics and Econometrics

Financial Economics and Econometrics provides an overview of theoretical and empirical finance, with an emphasis on applications and interpreting results. It is structured in five parts and covers financial data and univariate models, asset returns, interest rates, volatility and correlation, and corporate finance and policy. Digital supplements are available for instructors.

Format: Paperback / softback
Length: 730 pages
Publication date: 15 December 2021
Publisher: Taylor & Francis Ltd

Financial Economics and Econometrics is a comprehensive guide that delves into the fundamental principles of both theoretical and empirical finance, placing a strong emphasis on their practical applications and interpretation of results. The book is organized into five distinct parts, each covering a key aspect of financial analysis.

Part 1: Financial Data and Univariate Models
In this section, the book provides an introduction to financial data and the fundamental concepts of univariate models. It covers topics such as the collection, analysis, and interpretation of financial data, including time series analysis, cross-sectional analysis, and panel data analysis. The chapter also discusses the construction and estimation of univariate models, including linear regression, logistic regression, and exponential smoothing models.

Part 2: Asset Returns
This part explores the theory and empirical analysis of asset returns, including stocks, bonds, and real estate. It covers topics such as the CAPM (Capital Asset Pricing Model), the beta coefficient, and the risk-return trade-off. The chapter also presents empirical evidence on asset returns, including the performance of different asset classes, risk factors, and investment strategies.

Part 3: Interest Rates, Yields, and Spreads
The third part focuses on interest rates, yields, and spreads, covering the theory and empirical analysis of these financial variables. It discusses the relationship between interest rates, inflation, and economic growth, as well as the factors that influence interest rates. The chapter also presents empirical evidence on interest rates, including the yield curve, interest rate volatility, and interest rate spreads.

Part 4: Volatility and Correlation
In this section, the book explores the theory and empirical analysis of volatility and correlation, covering topics such as the definition and measurement of volatility, the relationship between volatility and returns, and the use of correlation analysis in financial modeling. The chapter also presents empirical evidence on volatility and correlation, including the volatility of stock returns, the correlation between different asset classes, and the relationship between volatility and economic indicators.

Part 5: Corporate Finance and Policy
The final part of the book focuses on corporate finance and policy, covering topics such as capital budgeting, financial statement analysis, and corporate governance. It discusses the decision-making processes of firms and the factors that influence their financial performance. The chapter also presents empirical evidence on corporate finance and policy, including the impact of corporate governance on firm performance, the effects of financial regulations on firm behavior, and the role of corporate finance in economic development.

Throughout the book, each chapter begins with a theoretical framework in financial economics, followed by econometric methodologies used to explore and validate the theory. Empirical evidence is presented, along with seminal papers on the topic, to provide readers with a comprehensive understanding of the subject matter. Boxes are included to offer insights on how the concepts discussed can be applied to other disciplines, such as management, marketing, and medicine, showcasing the relevance of financial economics beyond the realm of finance.

To support readers' learning, the book includes ample worked examples and intuitive explanations. Key takeaways, 'test your knowledge' and 'test your intuition' features at the end of each chapter help reinforce the material and assess students' understanding. Additionally, digital supplements, including PowerPoint slides, computer codes, an Instructors Manual, and Solutions Manual, are available for instructors. This textbook is suitable for upper-level undergraduate and graduate courses in financial economics, financial econometrics, empirical finance, and related quantitative areas.

In conclusion, Financial Economics and Econometrics is a comprehensive and accessible textbook that provides a solid foundation in both theoretical and empirical finance. It offers a comprehensive coverage of key topics, with a strong emphasis on applications and interpretation of results. The book's structured approach, ample empirical evidence, and practical insights make it an invaluable resource for students, professionals, and anyone interested in understanding the complex world of finance.

Weight: 1415g
Dimension: 246 x 174 (mm)
ISBN-13: 9781032070179