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Asset Pricing

Amazon.com Price:  $46.00 (as of 26/04/2019 16:59 PST- Details)

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Description

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-the-minute 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 Every security’s value. By the usage of a single, stochastic discount factor fairly than a separate set of tricks for Every asset class, Cochrane builds a unified account of brand new asset pricing. He presents applications to stocks, bonds, and options. Every 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 ends up in a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature at the axes fairly 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 decide 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 latest 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 in addition to a textbook, this book condenses and advances latest scholarship in financial economics.

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