THE ECONOMETRICS OF FINANCIAL MARKETS

Abstract

This book is an ambitious effort by three well-known andwell-respected scholars to fill an acknowledged void in theliterature—a text covering the burgeoning field of empirical finance.As the authors note in the preface, there are several excellent bookscovering financial theory at a level suitable for a Ph.D. class or asa reference for academics and practitioners, but there is little ornothing similar that covers econometric methods and applications.Perhaps the closest existing text is the recent addition to the WileySeries in Financial and Quantitative Analysis. written by Cuthbertson(1996). The major difference between the books is that Cuthbertsonfocuses exclusively on asset pricing in the stock, bond, and foreignexchange markets, whereas Campbell, Lo, and MacKinlay (henceforth CLM)consider empirical applications throughout the field of finance,including corporate finance, derivatives markets, and marketmicrostructure. The level of anticipation preceding publicationcan be partly measured by the fact that at least three reviews(including this one) have appeared since the book arrived. Moreover,in their reviews, both Harvey (1998) and Tiso (1998) comment on theneed for such a text, a sentiment that has been echoed by numerousfinance academics.