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AuthorLim, Kian Guan
TitleFinancial valuation and econometrics / Kian Guan Lim
Imprint Hackensack, NJ : World Scientific, c2011
Descript xiii, 481 p. : ill. ; 24 cm


This book brings together domains in financial asset pricing and valuation, financial investment theory, econometrics modeling, and the empirical analyses of financial data by applying appropriate econometric techniques. These domains are highly intertwined and should be properly understood in order to correctly and effectively harness the power of data and methods for investment and financial decision-making. The book is targeted at advanced finance undergraduates and beginner professionals performing financial forecasts or empirical modeling who will find it refreshing to see how forecasting is not simply running a least squares regression line across data points, and that there are many minefields and pitfalls to avoid, such as spurious results and incorrect interpretations. -- From back cover


Probability distribution and statistics -- Statistical laws and central limit theorem, application: stock return distributions -- Two-variable linear regression, application: financial hedging -- Model estimation, application: capital asset pricing model -- Constrained regression, application: cost of capital -- Time series analysis, application: Inflation forecasting -- Random walk, application: predictability -- Estimation errors and T-Tests, application: event studies -- Multiple linear regression and stochastic regressors -- Dummy variables and ANOVA, application: time effect anomalies -- Specification errors -- Cross-sectional regression, application: testing CAPM -- More multiple linear regressions, application: multi-factor asset pricing -- Errors-in-variable, application: exchange rates and risk premium -- Unit root processes, application: purchasing power parity -- Conditional heteroskedasticity, application: risk estimation -- Mean reverting continuous time process, application: bonds and term structures -- Implied parameters, application: option pricing -- Generalised method of moments, application: consumption-based asset pricing

Finance -- Econometric models Econometrics Corporations -- Valuation -- Econometric models

Central Library (5th Floor)332.015195 L732FCHECK SHELVES
Chula Business School Library332.015195 L732F 2011DUE 01-06-21

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