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.
1 有用 withinbeyond 2017-03-31 21:52:44
经典,然而和我关系不大
0 有用 Hammerklavier 2013-01-23 11:37:49
文笔好,易懂,缺点是不够严谨。
0 有用 狂歌虚翡 2019-03-12 01:47:37
资产定价的教材中比较清晰的。
0 有用 过期黄桃罐头 2024-01-18 00:34:51 西班牙
写得很好,不过为了行文流畅牺牲了一些理论的严密和规整…实证资产定价这块的factor zoo确实够吓人,更像是统计学…
0 有用 MiJ-™ 2015-06-24 05:08:31
Cochrane
0 有用 过期黄桃罐头 2024-01-18 00:34:51 西班牙
写得很好,不过为了行文流畅牺牲了一些理论的严密和规整…实证资产定价这块的factor zoo确实够吓人,更像是统计学…
0 有用 barry-yang 2022-03-09 16:18:17
Price equals expected discounted payoff
0 有用 忆少年 2021-08-24 22:32:35
休假的时候读的,哈哈哈,上学的时候都没读过的书,挺有意思,个人风格明显
0 有用 东山种田合作社 2021-01-19 18:16:41
如果要推荐一本入门的asset pricing教材的话,还是毫不犹豫推荐这一本,Kerry Back和Campbell作为参考。
2 有用 泉達栎 2020-02-21 13:12:14
Cochrane说得对,如果你发现看不懂我这句话,接着看下去就能找到解答……