Информационный центр "Центральный Дом Знаний"
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Campbell J.Y., Lo A.W., MacKinlay A.C. The Econometrics of Financial Markets (1997)Campbell J.Y., Lo A.W., MacKinlay A.C. 
Contents List of Figures xiii List of Tables xv Preface xvii 1 Introduction 3 1.1 Organization of the Book .................. 4 1.2 Useful Background...................... 6 1.2.1 Mathematics Background .............. 6 1.2.2 Probability and Statistics Background........ 6 1.2.3 Finance Theory Background............. 7 1.3 Notation............................ 8 1.'1 Prices, Returns, and Compounding............. 9 1.4.1 Definitions and Conventions............. 9 1.4.2 The Marginal, Conditional, and Joint Distribution of Returns........................ 13 1.5 Market Efficiency....................... 20 1.5.1 Efficient Markets and the Law of Iterated Expectations...................... 22 1.5.2 Is Market Efficiency Testable?............ 24 2 The Predictability of Asset Returns 27 2.1 The Random Walk Hypotheses............... 2ft 2.1.1 The Random Walk 1: HD Increments........ 31 2.1.2 The Random Walk 2: Independent Increments .. 32 2.1.3 The Random Walk 3. Uncorrected Increments .. 33 2.2 Tests of Random Walk 1: 1ID Increments.......... 33 2.2.1 Traditional Statistic al Tests.............. 33 2.2.2 Sequences and Reversals, and Runs......... 34 2.3 Tests of Random Walk 2: Independent Increments .... <l 1 2.3.1 Filter Rules ...................... 12 2.3.2 Technical Analysis................... -13 2.4 Tests of Random Walk 3: Uncon elated Increments .... 11 2.4.1 Autocorrelation Coefficients............. 44 2.4.2 Portmanteau Statistics ................ 47 2.4.3 Variance Ratios.................... 48 2.5 Long-Horizon Returns.................... 55 2.5.1 Problems with Long-Horizon Inferences...... 57 2.6 Tests For Long-Range Dependence............. 59 2.6.1 Examples of Long-Range Dependence....... 59 2.6.2 The Hurst-Mandelbrot Rest aled Range Statistic .. 62 2.7 Unit Root Tests........................ 64 2.8 Recent Empirical Evidence.................. 65 2.8.1 Autocorrelations ................... 66 2.8.2 Variance Ratios.................... 68 2.8.3 Cross-Autocorrelations and l.cad-I.ag Relations . . 74 2.8.4 Tests Using Long-Horizon Returns ......... 78 2.9 Conclusion.......................... 80 3 Market Microstrticture 83 3.1 -J Nonsynchronous Trading.................. 84 3.1.1 A Model of Nonsynchronous Trading........ 85 I 3.1.2 Extensions and Generalizations........... 98 3.2 I The Bid-Ask Spread...................... 99 ' 3.2.1 Bid-Ask Bounce.................... 101 J 3.2.2 Components of the Bid-Ask Spread......... 103 3.3 Modeling Transactions Data................. 107 . 3.3.1 Motivation....................... 108 3.3.2 Rounding and Barrier Models............ 114 3.3.3 The Ordered Probit Model.............. 122 3.4 Recent Empirical Findings.................. 128 3.4.1 Nonsynchronous Trading .............. 128 3.4.2 Estimating the Effective Bid-Ask Spicad . .'..... 134 3.4.3 Transactions Data................... 136 3.5 J Conclusion .......................... 144 4 Evenl-Study Analysis 149 4.1 ) Outline of an Event Study.................. 150 4.2 An Example of an Event Study................ 152 4.3 Models for Measuring Normal Performance........ 153 4.3.1 Constant-Mean-Return Model............. 154 4.3.2 Market Model..................... 155 4.3.3 Other Sialism al Models ............... 155 4.3.4 Economic Models................... 156 4.4 Measuring and Analyzing Abnormal Returns........ 157 4.4.1 Estimation of the Market Model........... 158 4.4.2 Statistical Properties of Abnormal Returns..... 159 4.4.3 Aggregation of Abnormal Returns.......... 160 4.4.4 Sensitivity to Normal Return Model......... 162 4.4.5 CARs for the Earnings-Announcement Example . . 163 4.4.6 Inferences with Clustering.............. 166 4.5 Modifying the Null Hypothesis ............... 167 4.6 Analysis of Power....................... 168 4.7 Nonpaiamelric Tests..................... 172 4.8 Cross-Sectional Models.................... 173 4.9 Further Issues......................... 175 4.9.1 Role of the Sampling Interval............ 175 4.9.2 Inferences with Event-Date Uncertainty....... 176 4.9.3 Possible Biases..................... 177 4.10 Conclusion.......................... 178 5 The Capital Asset Pricing Model 181 5.1 Review of the CAPM..................... 181 5.2 Results from Efficient-Set Mathematics........... 184 5.3 Statistical Framework for Estimation and Testing...... 188 5.3.1 Sharpe-Lintner Version................ 189 5.3.2 Black Version..................... H)6 5.4 Size of Tests.......................... 203 5.5 Power of Tests......................... 204 5.6 Nonnormal and Non-IID Returns.............. 208 5.7 Implementation of Tests................... 211 5.7.1 Summary of Empirical Evidence........... 211 5.7.2 Illustrative Implementation ............. 212 5.7.3 Unobservabtlity of the Market Portfolio....... 213 5.8 Cross-Sectional Regressions................. 215 5.9 Conclusion .......................... 217 6 Multifactor Pricing Models 219 6.1 Theoretical Background................... 219 6.2 Estimation and Testing.................... 222 6.2.1 Portfolios as Factors with a Riskfrcc Asset...... 223 6.2.2 Portfolios as Factors without a Riskfree Asset .... 224 6.2.3 Macroeconomic Variables as Factors......... 226 6.2.4 Factor Portfolios Spanning the Mean-Variance Frontier . ....................... 22Я 0.3 Estimation of Risk Pi cmia and Expected Returns ..... 231 0.4 Selection of Factors...................... 233 0.4.1 Statistical Approaches................. 233 0.4.2 Number of Factors.................. 238 0.4.3 Theoretical Approaches............... 23!) 0.5 Empirical Results....................... 2 10 0.0 Interpreting Deviations from Fxact Factor Pricing..... 242 0.0. I F.xact Factor Pricing Models, Mean-Variance Analysis, and the Optimal Orthogonal Portfolio .....213 0.0.2 Squared Sharpe Ratios................ 245 0.0.3 Implications lot -Separating Alternative Theories . . 240 0.7 Conclusion .......................... 2Г>1 7 Present-Value Relations 253 7.1 The Relation between l'i ices, Dividends, and Returns . . . 251 7.1.1 The Linear Present-Value Relation with Constant Expected Returns ...................255 7.1.2 Rational Bubbles................... 25S 7.1.3 An Approximate Present-Value Relation with Time-Varying Expected Returns...............200 7.1.4 Prices and Returns in a Simple Example ......204 7.2 Present-Value Relations and US Stock Price Behavior . . . 207 7.2.1 I.ong-I lot i/on Regressions.............. 207 7.2.2 Volatility Tests..................... 275 7.2.3 Vector Autoregicssive Methods ........... 279 7.3 Conclusion .......................... 280 8 Intertemporal Equilibrium Models 291 8.1 The Stochastic Discount Factor............... 293 8.1.1 Volatility Bounds................... 290 8.2 Consumption-Based Asset Pricing with Power Utility . . . . 304 8.2.1 Power Utility in a I.ognormal Model......... 300 8.2.2 Power Utility and Generalized Method of Moments........................314 8.3 Market Frictions ....................... 314 8.3.1 Market Frictions and 1 lansen-Jagannathan Bounds.........................315 8.3.2 Market Frictions and Aggregate Consumption Data...........................310 8.4 More General Utility Functions............... 321) 8.4.1 Habit Formation ...................320 8.4.2 Psychological Models of Preferences ........ 332 8.5 Conclusion .......................... 334 9 Derivative Pricing Models 339 9.1 Brownian Motion.......................341 9.1.1 Constructing Brownian Motion...........341 9.1.2 Stochastic Differential Equations ..........346 9.2 A Brief Review of Derivative Pricing Methods . . . . \ . . . 349 9.2.1 The Black-Scholes and Merton Approach......350 9.2.2 The Martingale Approach..............354 9.3 Implementing Parametric Option Pricing Models.....355 9.3.1 Parameter Estimation of Asset Price Dynamics . . . 356 9.3.2 Estimating a in the Black-Scholes Model......361 9.3.3 Quantifying the Precision of Option Price Estimators........................367 9.3.4 The Effects of Asset Return Predictability......369 9.3.5 Implied Volatility Estimators............. 377 9.3.6 Stochastic Volatility Models..............379 9.4 Pricing Path-Dependent Derivatives Via Monte Carlo Simulation .............................382 9.4.1 Discrete Versus Continuous Time..........383 9.4.2 How Many Simulations to Perform .........384 9.4.3 Comparisons with a Closed-Form Solution.....384 9.4.4 Computational Efficiency ..............386 9.4.5 Extensions and Limitations..............390 9.5 Conclusion ..........................391 10 Fixed-Income Securities 395 10.1 Basic Concepts........................396 10.1.1 Discount Bonds.................... 397 10.1.2 Coupon Bonds .................... 401 10.1.3 Estimating the Zero-Coupon Term Structure .... 409 10.2 Interpreting the Term Structure of Interest Rates..... 413 10.2.1 The Expectations Hypothesis ............413 10.2.2 Yield Spreads and Interest Rate Forecasts......418 10.3 Conclusion ..........................423 11 Term-Structure Models 427 11.1 Affine-Yield Models......................428 11.1.1 A Homoskedastic Single-Factor Model ....... 429 11.1.2 A Square-Root Single-Factor Model......... 435 11.1.3 A Two-Factor Model.................. 438 11.1.4 Beyond Affine-Yield Models............. 441 11.2 Fitting Term-Structure Models to the Data......- . . . 442 11.2.1 Real Bonds, Nominal Bonds, and Inflation.....442 11.2.2 Empirical Evidence on Affine-Yield Models .... 445 11.3 Pricing Fixed-Income Derivative Securities......... 455 11.3.1 Fitting the Current Term Structure Exactly..... 456 11.3.2 Forwards and Futures................. 458 11.3.3 Option Pricing in a Term-Structure Model..... 461 11.4 Conclusion .......................... 404 12 Nonlinearities in Financial Data 467 12.1 Nonlinear Structure in Univariate Time Series....... 468 12.1.1 Some Parametric Models............... 470 12.1.2 Univariate Tests for Nonlinear Structure...... 475 12.2 Models of Changing Volatility................ 479 12.2.1 Univariate Models................... 481 12.2.2 Multivariate Models.................. 490 ^ 12.2.3 Links between First and Second Moments..... 494 1^.3 Nonparametric Estimation.................. 498 I 12.3.1 Kernel Regression................... 500 J 12.3.2 Optimal Bandwidth Selection............ 502 12.3.3 Average Derivative Estimators............ 504 12.3.4 Application: Estimating State-Price Densities .... 507 12.4 Artificial Neural Networks.................. 512 I 12.4.1 Multilayer Perccptrons................ 512 J 12.4.2 Radial Basis Functions................. 516 j 12.4.3 Projection Pursuit Regression............ 518 I 12.4.4 Limitations of Learning Networks.......... 518 I 12.4.5 Application: Learning the Black-Scholes Formula . 519 12J.5 Overfilling and Data-Snooping............... 523 12|6 Conclusion.......................... 524 Appendix 527 A.j Linear Instrumental Variables................ 527 A.2 Generalized Method of Moments.............. 532 A.3 Serially Correlated and Heteroskedastic Errors....... 534 A.4 GMM and Maximum Likelihood .............. 536 References 541 Author Index 587 Subject Index 597 |
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The Econometrics of Financial Markets (1997)