상세정보

Every day, the financial markets bravely price trillions of dollars in such risky securities as stocks, bonds, options, futures, and derivatives. The systematic determination of their values--asset pricing--has developed dramatically in the last few years due to advances in financial theory and econometrics. In one of the most highly anticipated books in financial economics, John Cochrane unifies and brings this science up to date for the benefit of advanced students and professionals.



Cochrane traces the pricing of all assets back to a single idea--price equals expected discounted payoff--that captures the macroeconomic 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 discount 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 for advanced graduate students, this book condenses and advances recent scholarship in financial economics.

정보제공 :

CONTENTS
Acknowledgments = ⅴ
Preface = xiii
Part Ⅰ. Asset Pricing Theory = 3
  1 Consumption-Based Model and Overview = 5
    1.1 Basic Pricing Equation = 6
    1.2 Marginal Rate of Substitution／Stochastic Discount Factor = 8
    1.3 Prices, Payoffs, and Notation = 10
    1.4 Classic Issues in Finance = 12
    1.5 Discount Factors in Continuous Time = 28
    Problems = 33
  2 Applying the Basic Model = 37
    2.1 Assumptions and Applicability = 37
    2.2 General Equilibrium = 39
    2.3 Consumption-Based Model in Practice = 44
    2.4 Alternative Asset Pricing Models : Overview = 46
    Problems = 48
  3 Contingent Claims Markets = 51
    3.1 Contingent Claims = 51
    3.2 Risk-Neutral Probabilities = 53
    3.3 Investors Again = 54
    3.4 Risk Sharing = 56
    3.5 State Diagram and Price Function = 58
  4 The Discount Factor = 63
    4.1 Law of One Price and Existence of a Discount Factor = 64
    4.2 No Arbitrage and Positive Discount Factors = 69
    4.3 An Alternative Formula, and in Continuous Time = 74
    Problems = 77
  5 Mean-Variance Frontier and Beta Representations = 79
    5.1 Expected Return-Beta Representations = 80
    5.2 Mean-Variance Frontier : Intuition and Lagrangian Characterization = 83
    5.3 An Orthogonal Characterization of the Mean-Variance Frontier = 86
    5.4 Spanning the Mean-Variance Frontier = 91
    5.5 A Compilation of Properties of R* , , and = 92
    5.6 Mean-Variance Frontiers for Discount Factors : The Hansen-Jagannathan Bounds = 95
    Problems = 100
  6 Relation between Discount Factors, Betas, and Mean-Variance Frontiers = 101
    6.1 From Discount Factors to Beta Representations = 102
    6.2 From Mean-Variance Frontier to a Discount Factor and Beta Representation = 105
    6.3 Factor Models and Discount Factors = 108
    6.4 Discount Factors and Beta Models to Mean-Variance Frontier = 112
    6.5 Three Risk-Free Rate Analogues = 113
    6.6 Mean-Variance Special Cases with No Risk-Free Rate = 119
    Problems = 122
  7 Implications of Existence and Equivalence Theorems = 123
  8 Conditioning Information = 133
    8.1 Scaled Payoffs = 134
    8.2 Sufficiency of Adding Scaled Returns = 136
    8.3 Conditional and Unconditional Models = 138
    8.4 Scaled Factors : A Partial Solution = 146
    8.5 Summary = 148
    Problems = 148
  9 Factor Pricing Models = 149
    9.1 Capital Asset Pricing Model(CAPM) = 152
    9.2 Intertemporal Capital Asset Pricing Model(ICAPM) = 166
    9.3 Comments on the CAPM and ICAPM = 168
    9.4 Arbitrage Pricing Theory(APT) = 173
    9.5 APT vs. ICAPM = 183
    Problems = 184
Part Ⅱ. Estimating and Evaluating Asset Pricing Models = 185
  10 GMM in Explicit Discount Factor Models = 189
    10.1 The Recipe = 190
    10.2 Interpreting the GMM Procedure = 192
    10.3 Applying GMM = 196
  11 GMM : General Formulas and Applications = 201
    11.1 General GMM Formulas = 202
    11.2 Testing Moments = 206
    11.3 Standard Errors of Anything by Delta Method. = 207
    11.4 Using GMM for Regressions = 208
    11.5 Prespecified Weighting Matrices and Moment Conditions = 210
    11.6 Estimating on One Group of Moments, Testing on Another = 219
    11.7 Estimating the Spectral Density Matrix = 220
    Problems = 228
  12 Regression-Based Tests of Linear Factor Models = 229
    12.1 Time-Series Regressions = 230
    12.2 Cross-Sectional Regressions = 235
    12.3 Fama-MacBeth Procedure = 244
    Problems = 251
  13 GMM for Linear Factor Models in Discount Factor Form = 253
    13.1 GMM on the Pricing Errors Gives a Cross-Sectional Regression = 253
    13.2 The Case of Excess Returns = 256
    13.3 Horse Races = 258
    13.4 Testing for Characteristics = 259
    13.5 Testing for Priced Factors : Lambdas or b's? = 260
    Problems = 264
  14 Maximum Likelihood = 265
    14.1 Maximum Likelihood = 266
    14.2 ML is GMM on the Scores = 268
    14.3 When Factors are Returns, ML Prescribes a Time-Series Regression = 270
    14.4 When Factors Are Not Excess Returns, Regression ML Prescribes a Cross-Sectional = 273
    Problems = 275
  15 Time Series, Cross-Section, and GMM／DF Tests of Linear Factor Models = 277
    15.1 Three Approaches to the CAPM in Size Portfolios = 278
    15.2 Monte Carlo and Bootstrap = 285
  16 Which Method? = 291
Part Ⅲ. Bonds and Options = 307
  17 Option Pricing = 311
    17.1 Background = 311
    17.2 Black-Scholes Formula = 318
    Problems = 324
  18 Option Pricing without Perfect Replication = 325
    18.1 On the Edges of Arbitrage = 325
    18.2 One-Period Good-Deal Bounds = 327
    18.3 Multiple Periods and Continuous Time = 334
    18.4 Extensions, Other Approaches, and Bibliography = 344
    Problems = 346
  19 Term Structure of Interest Rates = 347
    19.1 Definitions and Notation = 347
    19.2 Yield Curve and Expectations Hypothesis = 352
    19.3 Term Structure Models - A Discrete-Time Introduction. = 355
    19.4 Continuous-Time Term Structure Models = 360
    19.5 Three Linear Term Structure Models = 366
    19.6 Bibliography and Comments = 377
    Problems = 380
Part Ⅳ. Empirical Survey = 383
  20 Expected Returns in the Time Series and Cross Section = 387
    20.1 Time-Series Predictability = 389
    20.2 The Cross Section : CAPM and Multifactor Models = 434
    20.3 Summary and Interpretation = 448
    Problems = 453
  21 Equity Premium Puzzle and Consumption-Based Models = 455
    21.1 Equity Premium Puzzles = 456
    21.2 New Models = 465
    21.3 Bibliography = 481
    Problems = 484
Part Ⅴ. Appendix = 487
  Appendix. Continuous Time = 489
    A.1 Brownian Motion = 489
    A.2 Diffusion Model = 491
    A.3 Ito's Lemma = 494
    Problems = 495
References = 497
Author Index = 511
Subject Index = 515