Efforts such as lettau and ludvigson 2001a, to find macroeconomic. Princeton university press cochrane j 2001 asset pricing princeton university from fnce 934 at university of pennsylvania. It is a very useful book for the finance academicians. In a recent journal of finance article, kan and zhou 1999 find that the stochastic discount factor methodology using gmm is markedly inferior to traditional maximum likelihood even in a simple test of the static capm with i. The name stochastic discount factor reflects the fact that the price of an asset can be computed by discounting the future cash flow by the stochastic factor and then taking the expectation. The righthand column repeats the exercise but uses factors that are imperfectly correlated with returns, as they are in most empirical applications. My first book on asset pricing was duffies dynamic asset pricing theory 2nd ed, and it has perhaps forever biased my judgment. Jegadeesh and titman 2001, 2002 document the profitability of. An evaluation of international asset pricing models. This page is devoted to the book asset pricing, and the corresponding online class. Craig mackinlay, princeton university press, 1997 asset pricing, by john h. Download it once and read it on your kindle device, pc, phones or tablets. Cochrane june 12, acknowledgments this book owes an enormous intellectual debt to lars hansen and gene fama. Estimating and evaluating asset pricing models 185 10 gmm in explicit discount factor models 189 10.
Costis skiadas develops in depth the fundamentals of arbitrage pricing, meanvariance analysis, equilibrium pricing, and optimal consumptionportfolio choice in discrete settings, but with emphasis. Asset pricing constrained by past consumption decisions. In the reading list i will refer to this book as cochrane. It tries to put all the asset pricing issues in a single framework, which makes the topic much more interesting and much easier to understand. I became a fan of john cochrane because of this book. Cochrane traces the pricing of all assets back to a single ideaprice equals expected discounted payoffthat captures the. 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 ideaprice equals expected discounted payoffthat captures the macroeconomic risks underlying each securitys value. Habit persistence in asset pricing has been introduced by constantinides 1990 in order to account for high equity premia. We then extend the bounds to reflect the correlation of discount factors with asset returns and to characterize conditional moments of discount factors. Asset pricing models along this line have been further explored by campbell and cochrane 1999, jerman 1998, and boldrin et al. Reliable information about the coronavirus covid19 is available from the world health organization current situation, international travel. Grundy and martin 2001 find no industry effects in momentum. Cochrane has served as head of the national bureau of economic research asset pricing group, and was the editor of the journal of political economy from 1998 to 2003. Topics in asset pricing lecture notes professor doron avramov. Samuelson award for scholarly writing on lifelong financial security, john cochrane s asset pricing now appears in a. Cochrane 1996, hodrick and zhang 2001 and lettau and ludvigson 2001. If you are teaching a class that uses asset pricing, you can get solutions to the problems by emailing me. Asset pricing is extremely readable, as cochrane stresses economic intuition over formal proofs. Cochrane, asset pricing revised edition, princeton university press, princeton. He was elected fellow of the econometric society in 2001, served as vicepresident of the american finance association in 2008, and was elected president of this learned society.
Numerous and frequentlyupdated resource results are available from this search. For alternative assumptions leading to the capm, see cochrane 2001, pp. We provide explicit solutions for n risky assets, either with or without a riskless asset. Its much simpler that way, and continuous time is a standard part of a finance phds toolkit. Problems 97 cochrane and hansen 1992 survey a variety of bounds, including bounds.
In revising asset pricing and the online versions, i have moved entirely to continuous time rather than lognormal approximations. Asset pricing theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and methodological foundations of competitive asset pricing. We use hansen and jagannathans bounds on the mean and standard deviation of discount factors to survey several asset pricing puzzles. Topics in asset pricing hebrew university of jerusalem. This definition is of fundamental importance in asset pricing. February 2001 investor psychology and asset pricing david hirshleifer abstract the basic paradigm of asset pricing is in vibrant ux. 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. Transversality and the stochastic nature of cash flows. Asset pricing theory 12 1 consumptionbased model and overview 1. Asset pricing explorations for macroeconomics by john h. Oclcs webjunction has pulled together information and resources to assist library staff as they consider how to handle coronavirus. Cochrane graduate school of business university of chicago 1101 e.
John h cochrane 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. The stochastic discount factor sdf is a concept in financial economics and mathematical finance. Alas, no pdf of the published version is available. Yet, asset pricing introducing habit persistence in stochastic models with. Our solutions provide insights into portfolio management problems and issues in conditional asset pricing. A skeptical appraisal of asset pricing tests sciencedirect. Cochrane traces the pricing of all assets back to a single idea price equals expected discounted payoff that. Asset pricing, professor doron avramov, finance department, hebrew university of jerusalem, israel course materials the econometrics of financial markets, by john y. An empirical and theoretical analysis of capital asset. 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. I first introduce the earlystage and modern classical asset pricing and portfolio theories. What cochrane does in asset pricing, very intelligently, convincingly, with great detail and.
In this approach, security expected returns are determined by both risk and misvaluation. Asset pricing 01 by cochrane, john h hardcover 2001. This is a brilliant and useful book, welldeserving of the tiaacref. The lefthand column plots the distribution of the sample adjusted r 2 5th, 50th, and 95th percentiles corresponding to true r 2 s of 0. Cochrane traces the pricing of all assets back to a single ideaprice equals expected discounted. A crosssectional test of a productionbased asset pricing model nber working paper no.
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