部分目录如下
1 Review of Statistics 3
1.1 Random Variables and Distributions . . . . . . . . . . . . . . . . . . 3
1.2 Hypothesis Testing . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
1.3 Normal Distribution of the Sample Mean as an Approximation . . . . 13
2 Least Squares and Maximum Likelihood Estimation 15
2.1 Least Squares . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
2.2 Maximum Likelihood . . . . . . . . . . . . . . . . . . . . . . . . . . 26
A Some Matrix Algebra 28
3 Testing CAPM 30
3.1 Market Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
3.2 Several Factors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
3.3 Fama-MacBeth∗ . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
4 Event Studies 41
4.1 Basic Structure of Event Studies . . . . . . . . . . . . . . . . . . . . 41
4.2 Models of Normal Returns . . . . . . . . . . . . . . . . . . . . . . . 43
4.3 Testing the Abnormal Return . . . . . . . . . . . . . . . . . . . . . . 45
4.4 Quantitative Events . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
A Derivation of (4.8) 47
5 Time Series Analysis 48
5.1 Descriptive Statistics . . . . . . . . . . . . . . . . . . . . . . . . . . 48
5.2 White Noise . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49