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
发表于2025-02-02
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Cochrane
评分asset pricing最近几年因为数据多了,做的实证paper都得出了许多cochrane框架下解释不了的结论(证否),然而也并没有见理论突破,所以相信这一分支还处于蛮荒时代,还可以有好几个牛顿。
评分经典,然而和我关系不大
评分偏向于实证 理论部分写得不太好 不过不失为一本必备的案头书
评分资产定价的教材中比较清晰的。
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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Asset Pricing 在线电子书 pdf 下载 txt下载 epub 下载 mobi 下载 2025