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Asset Pricing

by John H. Cochrane
Compare to estimated retail price: S$84.84  

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Asset Pricing
Asset Pricing

Unified, advanced insights into asset pricing dynamics.

If financial economics intrigues you and you're keen to delve into how global economic risks impact the value of various securities, John Cochrane's "Asset Pricing" is a treasure trove of insights. It bridges theory with real-world application, using a single idea to unify the concept of asset pricing across different classes. As a serious student or professional in finance, you'll appreciate how it levels up your understanding with a robust, empirical approach to evaluating whether price really equals expected discounted payoff.

  • TIAA-CREF Paul A. Samuelson Award (2001)
Note: While we do our best to ensure the accuracy of cover images, ISBNs may at times be reused for different editions of the same title which may hence appear as a different cover.

Asset Pricing

by John H. Cochrane
Compare to estimated retail price: S$84.84  

The item you've got your eye on is secondhand. You probably already know that, but just in case!

The estimated retail price shown next to any listed item represents the first-hand prices we've seen elsewhere, or the estimated original retail price of a comparable item of the same quality, construction and material offered elsewhere in new condition.

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ISBN: 9780691121376
Authors: John H. Cochrane
Publisher: Princeton University Press
Date of Publication: 2005-01-23
Format: Hardcover
Related Collections: Economics, Business
Related Topics: Sociology, Money, Technology, Society, Social Science, Finance
Goodreads rating: 4.36
(rated by 113 readers)

Description

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 predict
 

Unified, advanced insights into asset pricing dynamics.

If financial economics intrigues you and you're keen to delve into how global economic risks impact the value of various securities, John Cochrane's "Asset Pricing" is a treasure trove of insights. It bridges theory with real-world application, using a single idea to unify the concept of asset pricing across different classes. As a serious student or professional in finance, you'll appreciate how it levels up your understanding with a robust, empirical approach to evaluating whether price really equals expected discounted payoff.

  • TIAA-CREF Paul A. Samuelson Award (2001)
Note: While we do our best to ensure the accuracy of cover images, ISBNs may at times be reused for different editions of the same title which may hence appear as a different cover.