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Asset Pricing

简体网页||繁体网页
John H. Cochrane 作者
Princeton University Press
译者
2005-1-23 出版日期
568 页数
USD 115.00 价格
Hardcover
丛书系列
9780691121376 图书编码

Asset Pricing 在线电子书 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   


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发表于2024-06-11


Asset Pricing 在线电子书 epub 下载 mobi 下载 pdf 下载 txt 下载 2024

Asset Pricing 在线电子书 epub 下载 mobi 下载 pdf 下载 txt 下载 2024

Asset Pricing 在线电子书 pdf 下载 txt下载 epub 下载 mobi 下载 2024



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生涩难懂 定义不明

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第一遍,看不懂。

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Basic introduction

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make hard things simple

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文笔好,易懂,缺点是不够严谨。

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Asset Pricing 在线电子书 图书描述

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.

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