Frontmatter -- Contents -- List of Figures -- List of Tables -- Preface -- The Econometrics of Financial Markets -- 1. Introduction -- 2. The Predictability of Asset Returns -- 3. Market Microstructure -- 4. Event-Study Analysis -- 5. The Capital Asset Pricing Model -- 6. Multifactor Pricing...

We develop a stochastic model of nonsynchronous asset prices based on sampling with random censoring. In addition to generalizing existing models of non-trading our framework allows the explicit calculation of the effects of infrequent trading on the time series properties of asset returns....

We investigate the extent to which tests of financial asset pricing models may be biased by using properties of the data to construct the test statistics. Specifically, we focus on tests using returns to portfolios of common stock where portfolios are constructed by sorting on some empirically...