Asset Pricing: Revised Edition
87% of respondents would recommend this to a friend
ETB 14983
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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.
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What Stands Out
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- Revised edition unifies and updates asset pricing science for advanced students and professionals
- Traces pricing of all assets back to a single idea: price equals expected discounted payoff
- Presents applications to stocks, bonds, and options using a single stochastic discount factor
- Derives different models like consumption-based, CAPM, multifactor, term structure, and option pricing from the discounted factor
- Employs Generalized Method of Moments for empirical work on sample average prices and discounted payoffs
- Includes a review of recent empirical work on return predictability, value and other puzzles, and equity premium puzzles
| Publisher | Princeton University Press |
| Publication date | January 23, 2005 |
| Edition | Revised |
| Language | English |
| Print length | 568 pages |
| ISBN-10 | 0691121370 |
| ISBN-13 | 978-0691121376 |
| Item Weight | 2 pounds (910 grams) |
| Dimensions | 6.25 x 1.5 x 9.25 inches (15.9 x 3.8 x 23.5 cm) |
Who Should Buy?
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Finance Students
Ideal for undergraduate and graduate students who need a solid foundation in asset pricing theory and applications.
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Investment Professionals
Highly beneficial for investment analysts and portfolio managers seeking to enhance their understanding of market behavior.
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Economists and Researchers
Useful for economists and researchers conducting studies on asset pricing models and market efficiency.
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Casual Readers
Not suitable for casual readers seeking light content; the material is complex and technical.
Product Description
Asset Pricing: Revised Edition
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Economics Editorial Review
** Asset Pricing: Revised Edition** "Asset Pricing: Revised Edition" by John Cochrane has garnered a warm reception among finance enthusiasts and students alike, illustrating the book's effectiveness as both an educational tool and a practical guide. Readers have praised Cochrane's ability to synthesize a wide array of pricing theories, such as the Capital Asset Pricing Model (CAPM), Arbitrage Pricing Theory (APT), and derivative pricing. He structures the book around a central theme of Consumption-based pricing theory, presenting complex methodologies and concepts in a manner that feels coherent and approachable. The author balances rigorous theoretical insights with practical empirical studies, including detailed discussions of various pricing models like the Fama-French model. This combination not only enriches the reader's understanding but also facilitates a deeper appreciation of the theoretical frameworks encountered in academic finance. Critics note that while the book serves as an excellent introduction, readers should have a foundational understanding of macroeconomics and econometrics to fully benefit from its contents. Cochrane's engaging style shines through, making dense material accessible without sacrificing academic quality. This casual yet focused approach distinguishes the book from many others, making it approachable for those without PhDs. Yet, some reviewers pointed out a desire for more applications and examples to further illustrate the principles discussed. Overall, "Asset Pricing: Revised Edition" is highly recommended for individuals keen to delve into asset pricing theories, merging both theoretical understanding and practical application. The book is said to offer a learning experience akin to obtaining a Master's degree in asset pricing—an encouraging endorsement for potential readers. **
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Pros
- Comprehensive coverage of asset pricing theories.
- Clear and unified presentation of complex concepts.
- Balances theory and empirical studies effectively.
- Engaging, casual writing style that aids understanding.
- Good introduction for students and practitioners.
Cons
- May require prior knowledge of macroeconomics and econometrics.
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ETB 14983
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Features & Benefits
- Asset Pricing is a revised edition by John Cochrane which provides a unified account of modern asset pricing.
- The pricing of all assets is traced back to a single idea which captures the macroeconomic risks underlying each security's value.
- Each model, such as consumption-based, CAPM, multifactor, term structure, and option pricing, is derived as a different specification of the discounted factor.
- 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.
- This book condenses and advances recent scholarship in financial economics.
- It is written to be a summary for academics and professionals as well as a textbook.
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