Among books on financial econometrics, this one stands out as truly exceptional. Written by three recognized scholars, the book starts with the traditional questions of market efficiency and random walks. It then takes us on a fascinating exploration of market microstructures, event-study analysis, non-synchronous trading and intertemporal equilibrium models. The analysis is sophisticated and detailed, yielding a cascade of intriguing theoretical and empirical results. Market coverage is expansive including equity, foreign exchange, fixed income and derivative markets. There is an entire chapter on term structure models and another on derivatives pricing models. The discussion of arbitrage pricing theory is the best that I have seen anywhere.

Topics covered are largely academic, but the empirical nature of the book will make it appeal to practitioners. While many texts on financial econometrics focus on theory while offering an occasional empirical example, this one emphasizes both theoretical and empirical work, combining them to form a unified fabric.