Introductory Econometrics for Finance

Rating:
Summary: A practical approach to financial econometrics
Review: As a professor of financial econometrics in a master's degree course in accounting, I was eagerly searching for a book which should be comprehensive, understandable, and practical. Professor Brooks book came to me as a auspicious surprise. It is very readable, it contains chapters on the main topics of modern empirical studies in finance and accounting, and it brings a lot of exercises not only at the conceptual level, but also exercises with software applications, which are described in detail throughout the book. The only problem is that the software exercises are carried out with data taken from a British company that does not supply them freely. Therefore, unless someone is willing to spend a little fortune, one must reproduce the exercises using alternative data (in my case, data for Brazilian companies or the Brazilian stock market). Of course, it is not possible to get to the results presented in the book, so that the reader's analysis and conclusions might be different from the book's, which may bring doubts about the correctness of the reader's exercise. Despite this, the book is really very good as a text and exercise book for a financial econometrics course at the MSc level, and also a good starting point for those willing to embark on empirical studies in finance and accounting.

Rating:
Summary: This book should be read by every finance student
Review: This is the book I would recommend for every student who wants to start using econometrics in finance. From OLS regressions to garch and Markov-switching models, this book covers a lot of key econometric materials. It's short, very clear and well-written. It is the best introductory book to financial econometrics I've read so far. The first part of the book (on the OLS model) can be read by students who have no particular background in econometrics. The second part of the book (mainly on time series models) is very convenient for final year BSc / 1st year MSc students in finance. Math is used only when it is strictly required. Focus is really placed on the intuition behind the model. There are a lot of finance papers that are discussed (related to the author's work) and a lot of detailed applications using Eviews and RATS (with a nice and short introduction to these softwares in chapter 1). The programs are available free on the editor's website while the data are NOT! (Datastream did not want the data to be downloadable free of charge...No comment) That's why I do not give 5 stars to the book. And there is nothing on intraday data.