Asset Pricing

Asset Pricing
Title Asset Pricing PDF eBook
Author John H. Cochrane
Publisher Princeton University Press
Pages 552
Release 2009-04-11
Genre Business & Economics
ISBN 1400829135

Download Asset Pricing Book in PDF, Epub and Kindle

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.

Economic Complexity and Equilibrium Illusion

Economic Complexity and Equilibrium Illusion
Title Economic Complexity and Equilibrium Illusion PDF eBook
Author Associate Researcher at the Prigogine Center for Statistical Mechanics & Complex Systems Ping Chen
Publisher
Pages 0
Release 2016-09-29
Genre Business cycles
ISBN 9780415746847

Download Economic Complexity and Equilibrium Illusion Book in PDF, Epub and Kindle

This book consists of the major work of Professor Ping Chen, a pioneer in studying economic chaos and economic complexity. They are selected from works completed since 1987, integrating different insights from Marx, Marshall, Schumpeter and Keynes.

Economics as a Process

Economics as a Process
Title Economics as a Process PDF eBook
Author Richard Langlois
Publisher CUP Archive
Pages 292
Release 1986
Genre Business & Economics
ISBN 9780521378598

Download Economics as a Process Book in PDF, Epub and Kindle

Consists of original and rev. versions of papers presented at a conference at Airlie House in Virginia, Mar. 1983. Includes bibliographies and index.

Essays on International Asset Pricing in Partially Segmented Markets

Essays on International Asset Pricing in Partially Segmented Markets
Title Essays on International Asset Pricing in Partially Segmented Markets PDF eBook
Author Sundaram Janakiramanan
Publisher
Pages 356
Release 1986
Genre
ISBN

Download Essays on International Asset Pricing in Partially Segmented Markets Book in PDF, Epub and Kindle

Handbook of the Economics of Finance

Handbook of the Economics of Finance
Title Handbook of the Economics of Finance PDF eBook
Author G. Constantinides
Publisher Elsevier
Pages 698
Release 2003-11-04
Genre Business & Economics
ISBN 0080495087

Download Handbook of the Economics of Finance Book in PDF, Epub and Kindle

Volume 1B covers the economics of financial markets: the saving and investment decisions; the valuation of equities, derivatives, and fixed income securities; and market microstructure.

Empirical Asset Pricing

Empirical Asset Pricing
Title Empirical Asset Pricing PDF eBook
Author Wayne Ferson
Publisher MIT Press
Pages 497
Release 2019-03-12
Genre Business & Economics
ISBN 0262039370

Download Empirical Asset Pricing Book in PDF, Epub and Kindle

An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.

Handbook of the Economics of Finance

Handbook of the Economics of Finance
Title Handbook of the Economics of Finance PDF eBook
Author George M. Constantinides
Publisher Elsevier
Pages 654
Release 2003-11-04
Genre Business & Economics
ISBN 0080495079

Download Handbook of the Economics of Finance Book in PDF, Epub and Kindle

Volume 1A covers corporate finance: how businesses allocate capital - the capital budgeting decision - and how they obtain capital - the financing decision. Though managers play no independent role in the work of Miller and Modigliani, major contributions in finance since then have shown that managers maximize their own objectives. To understand the firm's decisions, it is therefore necessary to understand the forces that lead managers to maximize the wealth of shareholders.