John H Cochrane Asset Pricing

ISBN 13 : 9780691121376

Asset Pricing

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9780691121376: Asset Pricing

Asset Pricing This revised edition unifies and brings the science of asset pricing up to date for advanced students and professionals. Full description

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Présentation de l'éditeur :

Please note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. Arbitrage pricing theory (APT), in finance, is a general theory of asset pricing, that has become influential in the pricing of stocks. APT holds that the expected return of a financial asset can be modeled as a linear function of various macro- economic factors or theoretical market indices, where sensitivity to changes in each factor is represented by a factor-specific beta coefficient. The model-derived rate of return will then be used to price the asset correctly - the asset price should equal the expected end of period price discounted at the rate implied by model. If the price diverges, arbitrage should bring it back into line.

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John H Cochrane
ISBN 10 : 0691121370 ISBN 13 : 9780691121376
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John H Cochrane
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Description du livre État : New. New. Hard Cover International edition. Different ISBN and Cover image but contents are same as US edition.Perfect condition. Ship by express service to USA, Canada, Australia, France, Italy, UK, Germany and Netherland. Customer satisfaction our priority. N° de réf. du libraire ABE-190516-112721

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Description du livre Princeton University Press, United States, 2011. Hardback. État : New. Revised edition. 240 x 162 mm. Language: English . Brand New Book. 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. N° de réf. du libraire AAZ9780691121376

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John H Cochrane
Edité par Princeton University Press, United States (2011)
ISBN 10 : 0691121370 ISBN 13 : 9780691121376
Neuf(s) Couverture rigide Quantité : 10
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The Book Depository
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Description du livre Princeton University Press, United States, 2011. Hardback. État : New. Revised edition. 240 x 162 mm. Language: English . Brand New Book. 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. N° de réf. du libraire AAZ9780691121376

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John H Cochrane
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