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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 | |