, Introductory Econometrics for Finance
This bestselling and thoroughly classroom-tested textbook is a complete
resource for finance students. A comprehensive and illustrated discussion
of the most common empirical approaches in finance prepares students for
using econometrics in practice, while detailed case studies help them
understand how the techniques are used in relevant financial contexts.
Learning outcomes, key concepts and end-of-chapter review questions
(with full solutions online) highlight the main chapter takeaways and allow
students to self-assess their understanding. Building on the successful data-
and problem-driven approach of previous editions, this fourth edition has
been updated with new examples, additional introductory material on
mathematics and dealing with data, as well as more advanced material on
extreme value theory, the generalised method of moments and state space
models. A dedicated website, with numerous student and instructor
resources including videos and a set of companion manuals for various
statistical software – all available free of charge – completes the learning
package.
CHRIS BROOKS is Professor of Finance at the ICMA Centre, Henley
Business School, University of Reading, UK where he also obtained his
PhD. Chris has diverse research interests and has published over a hundred
articles in leading academic and practitioner journals, and six books. He is
Associate Editor of several journals, including the Journal of Business
Finance and Accounting and the British Accounting Review. He acts as
consultant and advisor for various banks, corporations and regulatory and
professional bodies in the fields of finance, real estate and econometrics.
2
,Introductory Econometrics for
Finance
FOURTH EDITION
CHRIS BROOKS
The ICMA Centre, Henley Business School, University of Reading
3
, University Printing House, Cambridge CB2 8BS, United Kingdom
One Liberty Plaza, 20th Floor, New York, NY 10006, USA
477 Williamstown Road, Port Melbourne, VIC 3207, Australia
314–321, 3rd Floor, Plot 3, Splendor Forum, Jasola District Centre, New Delhi –
110025, India
79 Anson Road, #06–04/06, Singapore 079906
Cambridge University Press is part of the University of Cambridge.
It furthers the University’s mission by disseminating knowledge in the pursuit of
education, learning, and research at the highest international levels of excellence.
www.cambridge.org
Information on this title: www.cambridge.org/9781108422536
DOI: 10.1017/9781108524872
© Chris Brooks 2019
This publication is in copyright. Subject to statutory exception and to the
provisions of relevant collective licensing agreements, no reproduction of any part
may take place without the written permission of Cambridge University Press.
First published 2002
Second edition published 2008
Third edition published 2014
Fourth edition published 2019
Printed and bound in Great Britain by Clays Ltd, Elcograf S.p.A.
A catalogue record for this publication is available from the British Library.
Library of Congress Cataloging-in-Publication Data
Names: Brooks, Chris, 1971– author.
Title: Introductory econometrics for finance / Chris Brooks, The ICMA Centre,
Henley Business School, University of Reading.
Description: Fourth edition. | Cambridge, United Kingdom ; New York, NY :
Cambridge University Press, 2019. | Includes bibliographical references and
index.
Identifiers: LCCN 2018061692 | ISBN 9781108422536 (hardback : alk. paper) |
4
This bestselling and thoroughly classroom-tested textbook is a complete
resource for finance students. A comprehensive and illustrated discussion
of the most common empirical approaches in finance prepares students for
using econometrics in practice, while detailed case studies help them
understand how the techniques are used in relevant financial contexts.
Learning outcomes, key concepts and end-of-chapter review questions
(with full solutions online) highlight the main chapter takeaways and allow
students to self-assess their understanding. Building on the successful data-
and problem-driven approach of previous editions, this fourth edition has
been updated with new examples, additional introductory material on
mathematics and dealing with data, as well as more advanced material on
extreme value theory, the generalised method of moments and state space
models. A dedicated website, with numerous student and instructor
resources including videos and a set of companion manuals for various
statistical software – all available free of charge – completes the learning
package.
CHRIS BROOKS is Professor of Finance at the ICMA Centre, Henley
Business School, University of Reading, UK where he also obtained his
PhD. Chris has diverse research interests and has published over a hundred
articles in leading academic and practitioner journals, and six books. He is
Associate Editor of several journals, including the Journal of Business
Finance and Accounting and the British Accounting Review. He acts as
consultant and advisor for various banks, corporations and regulatory and
professional bodies in the fields of finance, real estate and econometrics.
2
,Introductory Econometrics for
Finance
FOURTH EDITION
CHRIS BROOKS
The ICMA Centre, Henley Business School, University of Reading
3
, University Printing House, Cambridge CB2 8BS, United Kingdom
One Liberty Plaza, 20th Floor, New York, NY 10006, USA
477 Williamstown Road, Port Melbourne, VIC 3207, Australia
314–321, 3rd Floor, Plot 3, Splendor Forum, Jasola District Centre, New Delhi –
110025, India
79 Anson Road, #06–04/06, Singapore 079906
Cambridge University Press is part of the University of Cambridge.
It furthers the University’s mission by disseminating knowledge in the pursuit of
education, learning, and research at the highest international levels of excellence.
www.cambridge.org
Information on this title: www.cambridge.org/9781108422536
DOI: 10.1017/9781108524872
© Chris Brooks 2019
This publication is in copyright. Subject to statutory exception and to the
provisions of relevant collective licensing agreements, no reproduction of any part
may take place without the written permission of Cambridge University Press.
First published 2002
Second edition published 2008
Third edition published 2014
Fourth edition published 2019
Printed and bound in Great Britain by Clays Ltd, Elcograf S.p.A.
A catalogue record for this publication is available from the British Library.
Library of Congress Cataloging-in-Publication Data
Names: Brooks, Chris, 1971– author.
Title: Introductory econometrics for finance / Chris Brooks, The ICMA Centre,
Henley Business School, University of Reading.
Description: Fourth edition. | Cambridge, United Kingdom ; New York, NY :
Cambridge University Press, 2019. | Includes bibliographical references and
index.
Identifiers: LCCN 2018061692 | ISBN 9781108422536 (hardback : alk. paper) |
4
