Asset Pricing

Asset Pricing pdf epub mobi txt 电子书 下载 2025

出版者:Princeton University Press
作者:John H. Cochrane
出品人:
页数:568
译者:
出版时间:2005-1-23
价格:USD 115.00
装帧:Hardcover
isbn号码:9780691121376
丛书系列:
图书标签:
  • 金融 
  • 资产定价 
  • Finance 
  • 经济学 
  • 金融经济学 
  • 博士用书 
  • 教材 
  • 金融学 
  •  
想要找书就要到 图书目录大全
立刻按 ctrl+D收藏本页
你会得到大惊喜!!

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.

具体描述

读后感

评分

评分

评分

评分

评分

用户评价

评分

这是一本非常重要的资产定价的书,可是太难了,只看过一点点,但是这基本是金融学博士必备的书籍之一啊!

评分

文笔好,易懂,缺点是不够严谨。

评分

满分 简直爱上他

评分

实证资产定价教材,但是没有跟着老师认真阅读,只是囫囵吞枣的读了一些相关章节。个人觉得全书的核心在于:论证了随机折现因子(SDF)表达式在资产定价中的广泛应用与一般意义;然后强调了GMM方法在实证资产定价中的强大作用,并以经典的Fama-Macbeth回归做了比较。但是,窃以为,理解Fama-Macbeth回归对理解这本书的核心思想非常有帮助。或者说,这本书简直是在为Fama-Macbeth回归提供一个更严格的金融理论支持,并以GMM方法重新阐述了Fama-Macbeth回归方法。

评分

生涩难懂 定义不明

本站所有内容均为互联网搜索引擎提供的公开搜索信息,本站不存储任何数据与内容,任何内容与数据均与本站无关,如有需要请联系相关搜索引擎包括但不限于百度google,bing,sogou

© 2025 book.wenda123.org All Rights Reserved. 图书目录大全 版权所有