Échale un vistazo
asset pricing (ebook)-john h. cochrane-9781400829132

ASSET PRICING EBOOK

JOHN H. COCHRANE

, 2009
  • Formato: PDF - DRM
  • Editorial: PRINCETON UNIVERSITY PRESS
  • Lengua: INGLÉS
  • Año edición: 2009
  • ISBN: 9781400829132

Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochranes 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 securitys 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.

$2603.28

$2473.11

$2473.11

Inseparables, comprar "ASSET PRICING (EBOOK)" junto con:

asset pricing (ebook)-john h. cochrane-9781400829132
portfolio risk analysis (ebook)-9781400835294
PORTFOLIO RISK ANALYSIS (EBOOK)

Cómpralos hoy por

asset pricing (ebook)-john h. cochrane-9781400829132
investors and markets (ebook)-9781400830183
INVESTORS AND MARKETS (EBOOK)

Cómpralos hoy por

asset pricing (ebook)-john h. cochrane-9781400829132
microfoundations of financial economics (ebook)-9781400829576
MICROFOUNDATIONS OF FINANCIAL ECONOMICS (EBOOK)

Cómpralos hoy por

Datos del producto

  • Nº de páginas: 568 págs.
  • Editorial: PRINCETON UNIVERSITY PRESS
  • Lengua: INGLÉS
  • ISBN: 9781400829132
  • Año edición: 2009
  • Formato: PDF - DRM Tagus

Resumen

Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochranes 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 securitys 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.

0

Valoración Media

Todavía no ha sido valorado

Valoraciones usuarios

  • (0)
  • (0)
  • (0)
  • (0)
  • (0)

Recomendaciones usuarios

  • 0% No ha sido todavía recomendado
Haz tu recomendación

Opiniones "ASSET PRICING (EBOOK)"

No hay opiniones para este producto

Hazte un hueco en la comunidad de Casa del Libro, regístrate