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John Y. Campbell Andrew W. Lo A. Craig MacKinlay 1 Introduction 2 The Predictability of Asset Returns 3 Market Microstructure 4 Event-Study Analysis 5 The Capital Asset Pricing Model 6 Multifactor Pricing Models 7 Present-Value Relations 8 Intertemporal Equilibrium Models 9 Derivative Pricing Models 10 Fixed-Income Securities 1 1 TermStructure Models 12 Nonlinearities in Financial Data Appendix

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