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Preface | |
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About the Author | |
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Getting Started | |
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Understanding Your Data | |
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Nonmetric Data | |
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Nominal Data | |
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Ordinal Data | |
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Metric Data | |
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Interval Data | |
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Continuous (Ratio) Data | |
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Preparing Your Data for Analysis | |
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Getting Data Off the Internet and into Excel | |
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Preparing Data in Excel | |
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Getting Data into EViews | |
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Getting Data into SPSS | |
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Screening the Data for Typos and Outliers | |
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Transforming/Computing Financial Variables | |
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Calculating Returns | |
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Calculating Excess Returns | |
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Tying Up Loose Ends: Labels and Decimal Points | |
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Basic Financial Statistics/Methodologies | |
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Correlation | |
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Purpose of a Correlation Test | |
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Performing a Correlation with Metric Variables | |
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Performing a Correlation with Nonmetric Variables | |
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Autocorrelation | |
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Purpose of an Autocorrelation Test | |
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Performing an Autocorrelation Test | |
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Partial Autocorrelation | |
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Purpose of a Partial Autocorrelation Test | |
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Performing a Partial Autocorrelation Test | |
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Autocorrelation for Nonparametric Data (Wald-Wolfowitz Runs Test) | |
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Purpose of a Wald-Wolfowitz Runs Test | |
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Performing a Wald-Wolfowitz Runs Test | |
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T-Test | |
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Purpose of a T-Test | |
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Performing a One-Sample T-Test | |
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Performing an Independent-Samples T-Test | |
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Performing a Paired-Samples T-Test | |
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Analysis of Variance | |
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Purpose of an Analysis of Variance | |
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Performing an ANOVA | |
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Post Hoc Tests | |
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Equal Variances Assumed vs. Unequal Variances Assumed | |
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Regression | |
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Purpose of a Regression | |
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Performing a Linear Regression | |
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Testing for Multicollinearity | |
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Performing a Two-Stage Least Squares Regression | |
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Performing a 2SLS Regression in SPSS | |
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Performing a 2SLS Regression in EViews | |
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Factor Analysis | |
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Purpose of a Factor Analysis | |
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Performing a Factor Analysis | |
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Using Factor Scores in a Regression | |
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Using a Summated Scale in a Regression | |
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Calculating a Stock's Beta | |
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Purpose of Calculating a Stock's Beta | |
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Calculating Beta | |
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Interpreting Beta | |
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Predictive Ability | |
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Purpose of Measuring Predictive Ability | |
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Measuring Predictive Ability Using Ordinal Rankings | |
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Measuring Predictive Ability Using Raw Returns | |
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Advanced Financial Techniques/Methodologies | |
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Event Studies | |
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Purpose of an Event Study | |
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Background | |
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Identify the Event Date | |
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Define the Event Window | |
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Define the Estimation Period | |
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Select the Sample of Firms | |
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Calculate Normal (or Nonevent) Returns | |
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Mean Return | |
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Market Return | |
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Proxy (or Control) Portfolio Return | |
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Risk-Adjusted Return | |
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Calculate ARs | |
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Calculate CARs | |
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Determine the Statistical Significance of the ARs and CARs | |
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Performing an Event Study | |
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Identifying the Event Date | |
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Defining the Event Window | |
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Defining the Estimation Period | |
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Selecting the Sample of Firms | |
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Calculating Normal (or Nonevent) Returns | |
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Calculating ARs, CARs, and Their Significance | |
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Setting up the Event Study in Excel | |
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Performing Intermediate Calculations | |
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Calculating Total SAR | |
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Calculating the Cumulative TSAR | |
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Unit Root Test | |
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Purpose of a Unit Root Test | |
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Performing a Unit Root Test | |
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Granger Causality | |
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Purpose of Granger Causality | |
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Performing Granger Causality | |
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Number of Lags | |
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Limitations of Granger Causality | |
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Cointegration | |
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Purpose of Cointegration | |
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Performing a Cointegration Test | |
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Verifying That the Series Are Integrated | |
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Continuing with the Cointegration Test | |
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Using Centered (Orthogonalized) Seasonal Dummy Variables | |
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Vector Autoregression | |
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Purpose of Vector Autoregression | |
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Performing a VAR | |
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Vector Error Correction | |
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Purpose of Vector Error Correction | |
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Performing a VEC | |
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ARCH/GARCH | |
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Purpose of ARCH/GARCH | |
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Performing ARCH/GARCH | |
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Verifying the Correct Model Specification | |
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The Mean Equation | |
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The Variance Equation | |
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Testing for ARCH Effects | |
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Creating an Adjusted Series Free from ARCH/GARCH | |
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Variations of ARCH/GARCH | |
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Threshold ARCH | |
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Exponential GARCH | |
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ARCH-in-Mean | |
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Component ARCH | |
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Asymmetric Component | |
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Programming a Binomial Option Pricing Model | |
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Purpose of a Binomial Option Model | |
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Programming a Binomial European Call Option | |
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Programming a Binomial European Put Option | |
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Programming a Binomial American Call Option | |
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Programming a Binomial American Put Option | |
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Programming a Black-Scholes Option Pricing Model | |
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Programming a Call Option without Dividends Using Black-Scholes | |
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Programming a Put Option without Dividends Using Black-Scholes | |
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Programming a Call Option with Dividends Using Black-Scholes | |
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Continuous Dividends | |
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Discrete Dividends | |
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Programming a Put Option with Dividends Using Black-Scholes | |
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Continuous Dividends | |
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Discrete Dividends | |
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Understanding the Effects of Inputs on Call and Put Options | |
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Stock Price | |
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Exercise (or Strike) Price | |
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Volatility | |
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Time to Maturity | |
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Risk-Free Rate | |
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Dividends | |
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Writing a Financial Study | |
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Sections in a Financial Study | |
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Cover Page and Abstract | |
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Introduction | |
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Literature Review | |
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Data | |
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Methodology | |
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Results | |
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Summary and Conclusions | |
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References | |
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Tables | |
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Bringing Output into Microsoft Word | |
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Bringing SPSS Output into Microsoft Word | |
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Bringing Excel Output into Microsoft Word | |
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Bringing EViews Output into Microsoft Word | |
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Dataset Descriptions | |
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Glossary | |
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Index | |