Winner of the prestigious Paul A. Samuelson Award for scholarly
writing on lifelong financial security, John Cochrane's Asset Pricing
now appears in a revised edition that unifies and brings the science
of asset pricing up to date for advanced students and professionals.
Cochrane traces the pricing of all assets back to a single
idea—price equals expected discounted payoff—that captures the
macro-economic risks underlying each security's value. By using a
single, stochastic discount factor rather than a separate set of
tricks for each asset class, Cochrane builds a unified account of
modern asset pricing. He presents applications to stocks, bonds, and
options. Each model—consumption based, CAPM, multifactor, term
structure, and option pricing—is derived as a different
specification of the discounted factor. The discount factor framework
also leads to a state-space geometry for mean-variance frontiers and
asset pricing models. It puts payoffs in different states of nature on
the axes rather than mean and variance of return, leading to a new and
conveniently linear geometrical representation of asset pricing ideas.
Cochrane approaches empirical work with the Generalized Method of
Moments, which studies sample average prices and discounted payoffs to
determine whether price does equal expected discounted payoff. He
translates between the discount factor, GMM, and state-space language
and the beta, mean-variance, and regression language common in
empirical work and earlier theory. The book also includes a review of
recent empirical work on return predictability, value and other
puzzles in the cross section, and equity premium puzzles and their
resolution. Written to be a summary for academics and professionals as
well as a textbook, this book condenses and advances recent
scholarship in financial economics.
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Produktdetaljer
ISBN
9781400829132
Publisert
2013
Utgiver
Vendor
Princeton University Press
Språk
Product language
Engelsk
Format
Product format
Digital bok
Forfatter