Asset Pricing

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Última actualización el 03 dic 2025 19:57:53 H.EspVer todas las actualizacionesVer todas las actualizaciones

Características del artículo

Estado
En muy buen estado: Libro que se ha leído y que no tiene un aspecto nuevo, pero que está en un ...
Release Year
2001
Book Title
Asset Pricing
ISBN
9780691074986
Categoría

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Product Identifiers

Publisher
Princeton University Press
ISBN-10
0691074984
ISBN-13
9780691074986
eBay Product ID (ePID)
1870034

Product Key Features

Number of Pages
524 Pages
Language
English
Publication Name
Asset Pricing
Subject
Economic History, Investments & Securities / General
Publication Year
2001
Type
Textbook
Author
John H. Cochrane
Subject Area
Business & Economics
Format
Hardcover

Dimensions

Item Height
1.4 in
Item Weight
32.1 Oz
Item Length
9 in
Item Width
6 in

Additional Product Features

Intended Audience
College Audience
LCCN
00-053748
Reviews
"An excellent survey of asset pricing theory and applications from the modern viewpoint of stochastic discount factors and their associated geometry. This book was already a classic among finance scholars and on Ph.D. syllabi when it circulated in the form of class notes. It will also prove highly useful to practitioners who seek and in-depth introduction to these tools." --Yacine Ait-Sahalia, Princeton University, "This is a beautiful book that uses the elegant simplicity of the stochastic discount factor to present a general theory of the pricing of stocks, bonds, and derivatives and a practical approach to estimating particular models derived from the general theory. It will help experts in the field to consolidate their knowledge and beginners to appreciate the unity of asset pricing theory. Cochrane uses his mastery of the subject to present it in a clear and compelling manner that is easily accessible." --Michael Brennan, Anderson School, University of California, Los Angeles, Winner of the 2001 Award for Best Professional/Scholarly Book in Business, Management, and Accounting, Association of American Publishers, John H. Cochrane, Winner of Paul A. Samuelson Award Winner of the 2001 Award for Best Professional/Scholarly Book in Business, Management, and Accounting, Association of American Publishers, "This is an impressive treatise of very high quality. It is a serious scholarly monograph, of interest to those who are working to advance financial theory, and it can also serve as a textbook in an advanced finance course. It is thoughtful, inductive, and comprehensive." --Robert J. Shiller, author of Irrational Exuberance, "This is a sparkling, intuitive, makes-it-look-easier-than-it-really-is, gem of a book." ---Wayne Ferson, The Review of Financial Studies, "This is a sparkling, intuitive, makes-it-look-easier-than-it-really-is, gem of a book." --Wayne Ferson, The Review of Financial Studies, This is a sparkling, intuitive, makes-it-look-easier-than-it-really-is, gem of a book. ---Wayne Ferson, The Review of Financial Studies, "This book represents an exciting step forward in the exposition of financial economics. The last twenty years of finance research have advanced and enriched the field, and textbook treatments have lagged behind these developments. This text will replace the previous generation of books and should have a broad market. It is written in an informal, almost breezy style that will appeal to students and is divided into small, easily digested chapters. . . . The book moves easily between discrete-time and continuous-time models. This is an excellent thing as it encourages students to see beyond the formalism to the underlying economics. I strongly recommend it as an advanced finance text." --John Y. Campbell, coauthor of The Econometrics of Financial Markets
Dewey Edition
22
Illustrated
Yes
Dewey Decimal
332.6
Synopsis
Every day, the financial markets bravely price trillions of dollars in such risky securities as stocks, bonds, options, futures, and derivatives. The systematic determination of their values--asset pricing--has developed dramatically in the last few years due to advances in financial theory and econometrics. In one of the most highly anticipated books in financial economics, John Cochrane unifies and brings this science up to date for the benefit of advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea--price equals expected discounted payoff--that captures the macroeconomic 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 discount 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 for advanced graduate students, this book condenses and advances recent scholarship in financial economics.
LC Classification Number
HG4636.C56 2001

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