Written by three well-known scholars in the field, this text is an ambitious effort to elucidate a wide range of important topics in financial econometrics using an innovative combination of data analysis and sophisticated economic theory. For the first time, we have available in a single volume a large collection of topics previously found in specialized journals or advanced monographs only. Are asset returns predictable? Why are portfolio returns strongly positively autocorrelated when individual security returns are negatively correlated? Does the CAPM hold? How do we explain the large body of evidence that excess returns on stocks and other risky assets are predictable? These are just a few of the questions raised in the book for which an answer is provided or the state of the art presented. This book is sophisticated, yet accessible; full of details, yet intriguing. At the beginning of each chapter, the authors clearly identify the type of problems they are going to cope with and introduce the necessary analytical tools right after. A careful effort has been made to develop the statistical techniques within the context of particular financial applications. Students are going to like this approach. Instructors will appreciate the attempt to make each chapter as self-contained as possible, leaving them free to choose specified sequences of topics. Professionals will be pleased with the quick and authoritative introductions to important areas of finance.

Journal Article The Econometrics of Financial Markets Get access The Econometrics of Financial Markets. John Y. Campbell, Andrew W. Lo, and A. Craig MacKinlay. Princeton, N.J.: Princeton University Press, 1997. xviii + 611 pp., $49.50. ISBN 0-691-04301-9. Maurizio Tiso Maurizio Tiso University of Minnesota Search for other works by this author on: Oxford Academic Google Scholar The Review of Financial Studies, Volume 11, Issue 1, January 1998, Pages 233–238, https://doi.org/10.1093/rfs/11.1.233 Published: 03 June 2015