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Asset Pricing

Asset Pricing

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About the Book

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. This revised edition corrects the original printing throughout, and updates and clarifies the treatment of a number of important topics. About The Author John H. Cochrane is Myron S. Scholes Professor of Finance, University of Chicago, Graduate School of Business. He is Director of the National Bureau of Economic Research Asset Pricing Program. Table of Contents Part I : Asset Pricing Theory Consumption-Based Model and Overview Applying the Basic Model Contingent Claims Markets The Discount Factor Mean-Variance Frontier and Beta Representations Relation between Discount Factors, Betas, and Mean-Variance Frontiers Implications of Existence and Equivalence Theorems Conditioning Information Factor Pricing Models Part II : Estimating and Evaluating Asset Pricing Models GMM in Explicit Discount Factor Models GMM : General Formulas and Applications Regression-Based Tests of Linear Factor Models GMM for Linear Factor Models in Discount Factor Form Maximum Likelihood Time-Series, Cross-Section, and GMM/DF Tests of Linear Factor Models Which Method? Part III : Bonds and Options Option Pricing Option Pricing without Perfect Replication Tern Structure of Interest Rates Part IV : Empirical Survey Expected Returns in the Time Series and Cross Section Equity Premium Puzzle and Consumption-Based Models Part V : Appendix


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Product Details
  • ISBN-13: 9788122431247
  • Publisher: New Age International
  • Binding: Hardcover
  • ISBN-10: 8122431240
  • Publisher Date: 2010
  • Edition: 1stEdition

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