The increasing integration of financial markets together with the introduction of new technologies of communication have modified the relations between the dealers.

If one adds to these phenomena the long crisis period affecting hardly stabilized stock markets, one holds, without doubt, explanatory elements for the reappraisal of the evaluation models used hitherto. This reappraisal led to a renewal of research around traditional topics: efficient capital market theory, forecasts of stock prices, modeling of stock risk premia, … Beside this search for new determinants of stock prices, was added a more demanding quantitative analysis with the use of sophisticated econometric tools (nonlinear modelings, …).

The aim of this AEA Conference is to present recent developments in the Econometrics of stock markets.