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EMPIRICAL RESEARCH IN CAPITAL MARKETS

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This book contains reprints of articles that have been previously published in the Journal of Financial Economics, the Journal of Finance, the Journal of Business, Econometrica, and the Financial Analysts Journal. These papers cover many topics that are frequently discussed in courses on capital markets or investments. There are several high-quality textbooks on investments or capital markets that do a good job of summarizing the theory of efficient capital markets, portfolio choice, asset pricing models, and contingent claims pricing. These texts are usually limited, however, in the extent to which they can cover the important empirical evidence that relates to the theories.

Accordingly, the focus of this book is on papers that present empirical evidence. Some of these papers do not present new data or tests; rather, they clarify the results of others. Usually, however, the papers in this book present important new facts about the behavior of asset prices. We have used these papers ourselves in capital markets courses at the William E. Simon Graduate School of Business Administration at the University of Rochester. We thus believe that readings from this book can provide a valuable complement to a textbook in designing courses in capital markets or investments.

Finance is practically unique among the fields of economics because it has access to very large, high-quality datasets. Much of the expansion of academic and practical interest in this area has paralleled the development of these computer-readable datasets. Anyone comparing the content of an investments course taught 25 years ago with that taught today will see a high rate of technological progress that was largely driven by the well-documented set of facts reflected by the papers in this book.

We have organized the readings into seven sections. At the beginning of each is a brief introduction that describes the role this section might play in a capital markets course. We also provide a brief summary of the papers in this section, with references to related papers that are not in this book. We show the readings in this book in bold, while related readings are not highlighted. All references in these section introductions appear at the end of the book.

Often, papers could belong in more than one section. This is particularly true for the papers in the first section, "The Statistical Properties of Security Returns." Of course, instructors can choose to assign papers in any order they find useful.

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Availability

10000744

332.6 SCH e

RLC MM (Rak Buku Umum)

Available

Detail Information

Series Title

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Statement of Responsibility

G. William Schwert

Call Number

332.6 SCH e

Publisher

New York : McGraw-Hill., 1992

Collation

xii, 789 p. : ill ; 23cm.

Language

English

ISBN/ISSN

0-07-056079-X

Classification

332.6

Content Type

-

Edition

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Subject(s)

Buku Umum
Research
Market Research

Specific Detail Info

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