Ecture Notes in Financial Econometrics (Msc Course)
Lecture Notes in Financial Econometrics (MSc course)
Paul Söderlind1 1 January 2013
of St. Gallen. Address: s/bf-HSG, Rosenbergstrasse 52, CH-9000 St. Gallen, Switzerland. E-mail: Paul.Soderlind@unisg.ch. Document name: FinEcmtAll.TeX
1 University
Contents
1
Review of Statistics 1.1 Random Variables and Distributions . . . . . . . . . . . . . . 1.2 Moments . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.3 Distributions Commonly Used in Tests . . . . . . . . . . . . . 1.4 Normal Distribution of the Sample Mean as an Approximation
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5 5 11 14 17 19 22 22 44 51 54 57 63 66 66 67 72 74 77 81
A Statistical Tables 2 Least Squares Estimation 2.1 Least Squares . . . . 2.2 Hypothesis Testing . 2.3 Heteroskedasticity . . 2.4 Autocorrelation . . .
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A A Primer in Matrix Algebra A Statistical Tables 3 Index Models 3.1 The Inputs to a MV Analysis . 3.2 Single-Index Models . . . . . 3.3 Estimating Beta . . . . . . . . 3.4 Multi-Index Models . . . . . . 3.5 Principal Component Analysis 3.6 Estimating Expected Returns .
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Testing CAPM and Multifactor Models 4.1 Market Model . . . . . . . . . . . . . . . . . . 4.2 Calendar Time and Cross Sectional Regression 4.3 Several Factors . . . . . . . . . . . . . . . . . 4.4 Fama-MacBeth . . . . . . . . . . . . . . . . .
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Paul Söderlind1 1 January 2013
of St. Gallen. Address: s/bf-HSG, Rosenbergstrasse 52, CH-9000 St. Gallen, Switzerland. E-mail: Paul.Soderlind@unisg.ch. Document name: FinEcmtAll.TeX
1 University
Contents
1
Review of Statistics 1.1 Random Variables and Distributions . . . . . . . . . . . . . . 1.2 Moments . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.3 Distributions Commonly Used in Tests . . . . . . . . . . . . . 1.4 Normal Distribution of the Sample Mean as an Approximation
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. . . .
. . . .
. . . .
5 5 11 14 17 19 22 22 44 51 54 57 63 66 66 67 72 74 77 81
A Statistical Tables 2 Least Squares Estimation 2.1 Least Squares . . . . 2.2 Hypothesis Testing . 2.3 Heteroskedasticity . . 2.4 Autocorrelation . . .
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A A Primer in Matrix Algebra A Statistical Tables 3 Index Models 3.1 The Inputs to a MV Analysis . 3.2 Single-Index Models . . . . . 3.3 Estimating Beta . . . . . . . . 3.4 Multi-Index Models . . . . . . 3.5 Principal Component Analysis 3.6 Estimating Expected Returns .
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Testing CAPM and Multifactor Models 4.1 Market Model . . . . . . . . . . . . . . . . . . 4.2 Calendar Time and Cross Sectional Regression 4.3 Several Factors . . . . . . . . . . . . . . . . . 4.4 Fama-MacBeth . . . . . . . . . . . . . . . . .
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References: Verbeek (2012) 10 and Baltagi (2008) 18.1 Introduction to Panel Data