John H. Cochrane Asset Pricing

ISBN 13: 9780691121376

Asset Pricing

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9780691121376: Asset Pricing
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Co-Winner of the 2001 Paul A. Samuelson award

"This is a brilliant and useful book, well-deserving of the TIAA-CREF Samuelson Award. . . . The clever intuition and informal writing style make it a joy to read. Like a star athlete does with the sport, Cochrane makes it look easier than it really is." --Journal of Economic Literature

Reseña del editor:


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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Descripción Princeton University Press, United States, 2011. Hardback. Estado de conservación: New. Revised edition. 240 x 162 mm. Language: English . Brand New Book. 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. Nº de ref. de la librería AAU9780691121376

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John H. Cochrane
Editorial: Princeton University Press, United States (2011)
ISBN 10: 0691121370 ISBN 13: 9780691121376
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Descripción Princeton University Press, United States, 2011. Hardback. Estado de conservación: New. Revised edition. 240 x 162 mm. Language: English . Brand New Book. 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. Nº de ref. de la librería AAU9780691121376

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Descripción Princeton University Press, 2005. Estado de conservación: New. 2005. Revised. Hardcover. This revised edition unifies and brings the science of asset pricing up to date for advanced students and professionals. Num Pages: 560 pages, 51 line illus. 20 tables. BIC Classification: KFFM. Category: (P) Professional & Vocational; (U) Tertiary Education (US: College). Dimension: 243 x 165 x 39. Weight in Grams: 932. . . . . . . Nº de ref. de la librería V9780691121376

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Cochrane, John H.
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Descripción Princeton University Press. Estado de conservación: New. 2005. Revised. Hardcover. This revised edition unifies and brings the science of asset pricing up to date for advanced students and professionals. Num Pages: 560 pages, 51 line illus. 20 tables. BIC Classification: KFFM. Category: (P) Professional & Vocational; (U) Tertiary Education (US: College). Dimension: 243 x 165 x 39. Weight in Grams: 932. . . . . . Books ship from the US and Ireland. Nº de ref. de la librería V9780691121376

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