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.
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滿分 簡直愛上他
评分實證資産定價教材,但是沒有跟著老師認真閱讀,隻是囫圇吞棗的讀瞭一些相關章節。個人覺得全書的核心在於:論證瞭隨機摺現因子(SDF)錶達式在資産定價中的廣泛應用與一般意義;然後強調瞭GMM方法在實證資産定價中的強大作用,並以經典的Fama-Macbeth迴歸做瞭比較。但是,竊以為,理解Fama-Macbeth迴歸對理解這本書的核心思想非常有幫助。或者說,這本書簡直是在為Fama-Macbeth迴歸提供一個更嚴格的金融理論支持,並以GMM方法重新闡述瞭Fama-Macbeth迴歸方法。
评分生澀難懂 定義不明
评分經典,然而和我關係不大
评分make hard things simple
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