The Definition of Financial Econometrics ·Financial Theory: Information and asset prices(Insider trading forecasts stock returns). Behavior finance theory(Disposition Effect). How managers make decisions(Optimal investment and inefficient investment). The main purpose of financial econometrics is to verify the financial theory. Applications of variable relationships that the empirical results indicate. ·Fake Regression. 11
• Financial Theory: • Information and asset prices (Insider trading forecasts stock returns). • Behavior finance theory (Disposition Effect). • How managers make decisions (Optimal investment and inefficient investment). • . • The main purpose of financial econometrics is to verify the financial theory. • Applications of variable relationships that the empirical results indicate. • . • Fake Regression. 11 The Definition of Financial Econometrics
The Definition of Financial Econometrics Statistics (Financial data): The conflicts between theory and practice. Theory and Application. Asset pricing-price data Corporate finance-accounting data. ·Big data 12
• Statistics (Financial data): • The conflicts between theory and practice. • Theory and Application. • . • Asset pricing——price data. • Corporate finance——accounting data. • . • Big data. 12 The Definition of Financial Econometrics
The Definition of Financial Econometrics Variable relationship: Quantitative analysis and qualitative analysis. 。 Econometric model and Theoretical model. 13
• Variable relationship: • Quantitative analysis and qualitative analysis. • . • Econometric model and Theoretical model. 13 The Definition of Financial Econometrics
Outline The Definition of Financial Econometrics The Characteristics of Financial Data Typical Financial Econometrics problems 14
• The Definition of Financial Econometrics • The Characteristics of Financial Data • Typical Financial Econometrics problems 14 Outline