Asset Pricing - Rilegato

Cochrane, John H.

Rilegato

ISBN 10: 0691074984 ISBN 13: 9780691074986

Casa editrice: Princeton Univ Pr, 2001

Riassunto

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.

Su questo libro

Recensione:

John H. Cochrane, Winner of Paul A. Samuelson Award
Winner of the 2001 Award for Best Professional/Scholarly Book in Business, Management, and Accounting, Association of American Publishers
"This is a sparkling, intuitive, makes-it-look-easier-than-it-really-is, gem of a book."--Wayne Ferson, The Review of Financial Studies

Contenuti:

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 x* 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*, Re*, and x* 92
5.6 Mean-Variance Frontiers for m: 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 265
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

Su questa edizione

• Editore: Princeton Univ Pr
• Data di pubblicazione: 2001
• ISBN 10: 0691074984
• ISBN 13: 9780691074986
• Rilegatura: Copertina rigida
• Numero di pagine: 530