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2 The Predictability of Asset Returns
2.1 The Random Walk Hypotheses
2.1.1 The Random Walk 1: IID Increments
2.1.2 The Random Walk 2: Independent Increments
2.1.3 The Random Walk 3: Uncorrelated Increments
2.2 Tests of Random Walk 1: IID Increments
2.2.1 Traditional Statistical Tests
2.2.2 Sequences and Reversals, and Runs
2.3 Tests of Random Walk 2: Independent Increments
2.3.1 Filter Rules
2.3.2 Technical Analysis
2.4 Tests of Random Walk 3: Uncorrelated Increments
2.4.1 Autocorrelation Coefficients
2.4.2 Portmanteau Statistics
2.4.3 Variance Ratios
2.5 Long-Horizon Returns
2.5.1 Problems with Long-Horizon Inferences
2.6 Tests For Long-Range Dependence
2.6.1 Examples of Long-Range Dependence
2.6.2 The Hurst-Mandelbrot Rescaled Range Statistic
2.7 Unit Root Tests
2.8 Recent Empirical Evidence
2.8.1 Autocorrelations
2.8.2 Variance Ratios
2.8.3 Cross-Autocorrelations and Lead-Lag Relations
2.8.4 Tests Using Long-Horizon Returns
2.9 Conclusion
3 Market Microstructure
3.1 Nonsynchronous Trading
3.1.1 A Model of Nonsynchronous Trading
3.1.2 Extensions and Generalizations
3.2 The Bid-Ask Spread
3.2.1 Bid-Ask Bounce
3.2.2 Components of the Bid-Ask Spread
3.3 Modeling Transactions Data
3.3.1 Motivation
3.3.2 Rounding and Barrier Models
3.3.3 The Ordered Probit Model
3.4 Recent Empirical Findings
3.4.1 Nonsynchronous Trading
3.4.2 Estimating the Effective Bid-Ask Spread
3.4.3 Transactions Data
3.5 Conclusion
4 Event-Study Analysis
4.1 Outline of an Event Study
4.2 An Example of an Event Study
4.3 Models for Measuring Normal Performance
4.3.1 Constant-Mean-Return Model
4.3.2 Market Model
4.3.3 Other Statistical Models
4.3.4 Economic Models
4.4 Measuring and Analyzing Abnormal Returns
4.4.1 Estimation of the Market Model
4.4.2 Statistical Properties of Abnormal Returns
4.4.3 Aggregation of Abnormal Returns
4.4.4 Sensitivity to Normal Return Model
4.4.5 CARs for the Earnings-Announcement Example
4.4.6 Inferences with Clustering
4.5 Modifying the Null Hypothesis
4.6 Analysis of Power
4.7 Nonparametric Tests
4.8 Cross-Sectional Models
4.9 Further Issues
4.9.1 Role of the Sampling Interval
4.9.2 Inferences with Event-Date Uncertainty
4.9.3 Possible Biases
4.10 Conclusion
7 Present-Value Relations
7.1 The Relation between Prices, Dividends, and Returns
7.1.1 The Linear Present-Value Relation with Constant Expected
Returns
7.1.2 Rational Bubbles
7.1.3 An Approximate Present-Value Relation with Time-
Varying Expected Returns
7.1.4 Prices and Returns in a Simple Example
7.2 Present-Value Relations and US Stock Price Behavior
7.2.1 Long-Horizon Regressions
7.2.2 Volatility Tests
7.2.3 Vector Autoregressive Methods
7.3 Conclusion
8 Intertemporal Equilibrium Models
8.1 The Stochastic Discount Factor
8.1.1 Volatility Bounds
10 Fixed-Income Securities
10.1 Basic Concepts
10.1.1 Discount Bonds
10.1.2 Coupon Bonds
10.1.3 Estimating the Zero-Coupon Term Structure
10.2 Interpreting the Term Structure of Interest Rates
10.2.1 The Expectations Hypothesis
10.2.2 Yield Spreads and Interest Rate Forecasts
10.3 Conclusion
11 Term-Structure Models
11.1 Affine-Yield Models
11.1.1 A Homoskedastic Single-Factor Model
11.1.2 A Square-Root Single-Factor Model
11.1.3 A Two-Factor Model
11.1.4 Beyond Affine-Yield Models
11.2 Fitting Term-Structure Models to the Data
11.2.1 Real Bonds, Nominal Bonds, and Inflation
11.2.2 Empirical Evidence on Affine-Yield Models
11.3 Pricing Fixed-Income Derivative Securities
11.3.1 Fitting the Current Term Structure Exactly
11.3.2 Forwards and Futures
11.3.3 Option Pricing in a Term-Structure Model
11.4 Conclusion
Appendix
A.1 Linear Instrumental Variables
A.2 Generalized Method of Moments
A.3 Serially Correlated and Heteroskedastic Errors
A.4 GMM and Maximum Likelihood
References
Author Index
Subject Index
List of Figures
6.1 Distributions for the CAPM Zero-Intercept Test Statistic for Four
Hypotheses
7.1 Log Real Stock Price and Dividend Series, Annual US Data, 1872 to
1994
7.2 Log Real Stock Price and Estimated Dividend Component, Annual
US Data, 1876 to 1994
7.3 Log Dividend-Price Ratio and Estimated Dividend Component,
Annual US data, 1876 to 1994
6.1 Summary of results for tests of exact factor pricing using zero-
intercept F-test.
31.
.....
Tuli ilta. Bussy toivoi, että Remy menisi ulos tai että Diana
näyttäytyisi jossakin ikkunassa. Hän kietoi senvuoksi viitan
ympärilleen ja meni odottelemaan kadulle.
— Se on hän.
— Minulleko? Ei kukaan.
Remy oli puhunut niin hiljaa, että Monsoreau kuuli vain mutinaa.
Mutta hän ponnisti voimiaan, käänsi päätään sivulle ja näki Dianan
olevan takanaan.
— Voi, niin, niin! Mutta saada nähdä sinut, saada sulkea sinut
syliini! Voi, Diana, Diana!
— Kyllä, mutta kun hän saa tietää, että minä rakastan sinua…
kuiskasi Bussy.
— Suretko häntä?
Remy oli todellakin taitava mies, taitavampi kuin mitä oli toivonut.
Matkan varrella oli Diana hellyydenosotuksillaan laimentanut
Bussyn ylpeyttä ja saanut hänet lupaamaan senkin, että hän
perillepäästyä tulisi tervehtimään Monsoreauta ja solmitsemaan sen
ystävyyden, jota tämä niin mielellään oli tahtonut hänelle tarjota!
32.
— Sire, minä todellakin olen siellä ollut. Mutta, kuten näette, olen
poistunut sieltä.
— Antoi. Hän sanoi minulle, että koska hän oli halukas palaamaan
Parisiin leskikuningattaren seurassa, niin hän toivoi, että teidän
majesteettinne saisi jo edeltäpäin tiedon hänen, s.o. teidän
uskollisimman alamaisenne paluusta.
— Ahaa!
33.
— Rauhoittukaa, Bussy.
— Äh!
— Ahaa! Minä käsitän nyt vallan hyvin, että tuo viimeinen seikka
saa teidät levollisemmin odottamaan hänen kuolemaansa. Mutta
kaikesta huolimatta olen yhäkin sangen hämilläni.
— Ahaa!
— Alan.
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