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Asset Pricing: Revised Edition by John H. Cochrane (Hardcover, 2005)

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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.

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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.

Product Identifiers

Publisher
Princeton University Press
ISBN-13
9780691121376
eBay Product ID (ePID)
96345138

Product Key Features

Author
John H. Cochrane
Publication Name
Asset Pricing: Revised Edition
Format
Hardcover
Language
English
Subject
Finance
Publication Year
2005
Type
Textbook
Number of Pages
560 Pages

Dimensions

Item Height
235mm
Item Width
152mm
Item Weight
907g

Additional Product Features

Title_Author
John H. Cochrane
Country/Region of Manufacture
United States

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5 out of 5 stars
by eckerdg12 Dec, 2018
the sparkly pink lettering on the binding is... interesting, given the subject.
as a phd student in macro/asset pricing, this is indispensable and the presentation is lucid, not cringey.
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