All listings for this product
About this product
- DescriptionWinner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing w 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-ecomic 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 ecomics.
- Author BiographyJohn H. Cochrane is Theodore O. Yntema Professor of Finance at the University of Chicago Graduate School of Business. He is Director of the National Bureau of Economic Research Asset Pricing Program.
- PrizesWinner of Paul A. Samuelson Award 2001.
- Author(s)John H. Cochrane
- PublisherPrinceton University Press
- Date of Publication03/01/2005
- SubjectFinance & Accounting
- Place of PublicationNew Jersey
- Country of PublicationUnited States
- ImprintPrinceton University Press
- Content Note51 line illus. 20 tables.
- Weight914 g
- Width152 mm
- Height229 mm
- Spine40 mm
- Edition StatementRevised edition
Best-selling in Non-Fiction Books
Save on Non-Fiction Books
- AU $9.86Trending at AU $16.88
- AU $5.99Trending at AU $8.24
- AU $11.51Trending at AU $18.83
- AU $24.83Trending at AU $25.29
- AU $67.69Trending at AU $74.89
- AU $31.51Trending at AU $36.97
- AU $44.28Trending at AU $47.12
This item doesn't belong on this page.
Thanks, we'll look into this.