Urban Studies, 13 2 , — Urban econometrics: Model developments and empirical results. Greenwich: JAI Press. Research in Urban Economics, Vol. Kaufman, L. Finding groups in data: An introduction to cluster analysis 9th ed. Kim, D. The errors in the variables problem in the cross-section of expected stock returns. Journal of Finance, 50 5 , — A reexamination of firm size, book-to-market, and earnings price in the cross-section of expected stock returns. Journal of Financial and Quantitative Analysis, 32 4 , — Issues related to the errors-in-variables problems in asset pricing tests.
Handbook of financial econometrics tools and techniques in SearchWorks catalog
In Handbook of quantitative finance and risk management Part V, Chap. Kuan, C. The generalized fluctuation test: A unifying view. Econometric Reviews, 14 , — Lambert, R. An analysis of the use of accounting and market measures of performance in executive compensation contracts. Journal of Accounting Research, 25 , 85— Lee, C.
Errors-in-variables estimation procedures with applications to a capital asset pricing model. A note on the interdependent structure of security returns. Journal of Financial and Quantitative Analysis, 11 , 73— Functional form and the dividend effect of the electric utility industry. Journal of Finance, 31 5 , — Functional form, skewness effect and the risk-return relationship. Journal of Financial and Quantitative Analysis, 12 , 55— Performance measure, systematic risk and errors-in-variable estimation method.
Journal of Economics and Business, 39 , — Lee, A. Cost of capital and equity offerings in the insurance industry. Alternative errors-in-variable models and their application in finance research Working Paper. Rutgers University. Review of Quantitative Finance and Accounting, 10 3 , — Effects of measurement errors on systematic risk and performance measure of a portfolio.
Journal of Financial and Quantitative Analysis, 13 2 , — Lee, K. Multiple directorships, corporate ownership, firm performance Working Paper. The impacts of kurtosis on risk stationarity: Some empirical evidence.
Financial Review, 20 4 , — Associations between alternative accounting profitability measures and security returns. Journal of Financial and Quantitative Analysis, 16 , 71— On accounting-based, market-based and composite-based beta predictions: Method and implications. Financial Review, 21 , 51— Quarterly Review of Economics and Business, 29 , 6— Heterogeneous investment horizon and capital asset pricing model: Theory and implications.
Journal of Financial and Quantitative Analysis, 25 , — Asset pricing with disequilibrium price adjustment: Theory and empirical evidence. Quantitative Finance. Optimal payout ratio under uncertainty and the flexibility hypothesis: Theory and empirical evidence. Journal of Corporate Finance, 17 3 , — Tradeoff between reputation concerns and economic dependence for auditors — Threshold regression approach Working Paper. Leon, A. Journal of Banking and Finance, 33 6 , — Lien, D. An note on the relationship between the variability of the hedge ratio and hedging performance.
Journal of Futures Market, 30 11 , — An empirical analysis of the relationship between hedge ratio and hedging horizon using wavelet analysis. Journal of Futures Market, 27 2 , — Liu, B.
Two essays in financial econometrics: I: Functional forms and pricing of country funds. II: The term structure model of inflation risk premia. Maddala, G. Handbook of statistics Statistical methods in finance. Martin, C. Corporate borrowing and credit constrains: Structural disequilibrium estimates for the U.
ISBN 13: 9780444508973
Review of Economics and Statistics, 72 1 , 78— Mayer, W. Estimating disequilibrium models with limited a priori price-adjustment information. Journal of Econometrics, 41 3 , — Miller, M. Some estimates of the cost of capital to the utility industry, American Economic Review, 56 3 , — Myers, R. Estimating time-varying optimal hedge ratios on futures markets. Journal of Futures Markets, 11 1 , 39— Newey, W. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix.
http://baannernnam.com/images/location/5023.php Econometrica, 55 3 , — Ohlson, J. Financial ratios and the probabilistic prediction of bankruptcy. Journal of Accounting Research, 19 , — Petersen, M. Estimating standard errors in finance panel data sets: Comparing approaches. Review of Financial Studies, 22 , — Pinches, G. A multivariate analysis of industrial bond ratings. Journal of Finance, 28 1 , 1— Quandt, R. The econometrics of disequilibrium. New York: Basil Blackwell Inc. Rendleman, R. Two-state option pricing. Journal of Finance, 24 , — Rubinstein, M. Implied binomial trees. Journal of Finance, 49 , — A calculator is needed for the test and attendance is compulsory.
If you fail to attend the test you will be awarded a zero mark. There will be no catch-up or supplementary tests.
Tools and Techniques
For those students, missed assessment will be covered by a supplementary assessment that could include an oral component, which will be two weeks after the date of the original assessment. The assignment is due at 4pm on Friday of Week No extensions will be granted. This penalty does not apply for cases in which an application for special consideration is made and approved. No submission will be accepted after solutions have been posted.
Students are strongly recommended to keep a photocopy of their assignment to ensure against loss. In addition, students must also submit an electronic copy through iLearn. The final exam will consist of multiple-choice questions and short-answer questions.