Asset pricing:
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Princeton ; Oxford
Princeton University Press
2005
|
| Edition: | revised edition |
| Subjects: | |
| Online Access: | Publisher description Inhaltsverzeichnis |
| Physical Description: | XVII, 533 Seiten graph. Darst. |
| ISBN: | 0691121370 9780691121376 |
Staff View
MARC
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| 650 | 4 | |a Modèle de fixation du prix des actifs | |
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| adam_text | Contents
Acknowledgments v
Preface xiii
Parti. Asset Pricing Theory 1
1 Consumption-Based Model and Overview 3
1.1 Basic Pricing Equation.............................. 4
1.2 Marginal Rate of Substitution/Stochastic Discount Factor 6
1.3 Prices, Payofls, and Notation......................... 8
1.4 Classic Issues in Finance............................ 10
1.5 Discount Factors in Continuous Time................. 25
Problems......................................... 31
2 Applying the Basic Model 35
2.1 Assumptions and Applicability....................... 35
2.2 General Equilibrium............................... 37
2.3 Consumption-Based Model in Practice................ 41
2.4 Alternative Asset Pricing Models: Overview............. 43
Problems......................................... 45
3 Contingent Claims Markets 49
3.1 Contingent Claims................................. 49
3.2 Risk-Neutral Probabilities........................... 51
3.3 Investors Again.................................... 53
3.4 Risk Sharing....................................... 54
3.5 State Diagram and Price Function.................... 56
4 The Discount Factor 61
4.1 Law of One Price and Existence of a Discount Factor .... 62
4.2 No Arbitrage and Positive Discount Factors............ 67
vii
viii Contents
4.3 An Alternative Formula, and x* in Continuous Time..... 72
Problems......................................,.. 75
5 Mean-Variance Frontier and Beta Representations 77
5.1 Expected Return-Beta Representations................ 78
5.2 Mean-Variance Frontier: Intuition and Lagrangian
Characterization................................... 81
5.3 An Orthogonal Characterization of the Mean-Variance
Frontier.......................................... 84
5.4 Spanning the Mean-Variance Frontier................. 88
5.5 A Compilation of Properties of R*, R**, and **.......... 89
5.6 Mean-Variance Frontiers for Discount Factors: The
Hansen-Jagannathan Bounds........................ 92
Problems......................................... 97
6 Relation between Discount Factors, Betas, and
Mean-Variance Frontiers 99
6.1 From Discount Factors to Beta Representations......... 100
6.2 From Mean-Variance Frontier to a Discount Factor and
Beta Representation.... ■............................ 103
6.3 Factor Models and Discount Factors.................. 106
6.4 Discount Factors and Beta Models to Mean-Variance
Frontier.......................................... 110
6.5 Three Risk-Free Rate Analogues...................... Ill
6.6 Mean-Variance Special Cases with No Risk-Free Rate..... 117
Problems......................................... 120
7 Implications of Existence and Equivalence Theorems 121
8 Conditioning Information 131
8.1 Scaled Payoffe..................................... 132
8.2 Sufficiency of Adding Scaled Returns.................. 134
8.3 Conditional and Unconditional Models............... 136
8.4 Scaled Factors: A Partial Solution..................... 144
8.5 Summary......................................... 145
Problems......................................... 146
9 Factor Pricing Models 149
9.1 Capital Asset Pricing Model (CAPM).................. 152
9.2 Intertemporal Capital Asset Pricing Model (ICAPM)..... 165
9.3 Comments on the CAPM and ICAPM................. 167
9.4 Arbitrage Pricing Theory (APT)...................... 173
Contents JX
9.5 APTvs.ICAPM.................................... 182
Problems......................................... 183
Part II. Estimating and Evaluating Asset Pricing Models 185
10 GMM in Explicit Discount Factor Models 189
10.1 The Recipe....................................... 190
10.2 Interpreting the GMM Procedure.................... 192
10.3 Applying GMM.................................... 196
11 GMM: General Formulas and Applications 201
11.1 General GMM Formulas............................ 202
11.2 Testing Moments.................................. 206
11.3 Standard Errors of Anything by Delta Method.......... 207
11.4 Using GMM for Regressions......................... 207
11.5 Prespecified Weighting Matrices and Moment Conditions 210
11.6 Estimating on One Group of Moments, Testing
on Another....................................... 218
11.7 Estimating the Spectral Density Matrix................ 219
Problems......................................... 227
12 Regression-Based Tests of linear Factor Models 229
12.1 Time-Series Regressions............................ 230
12.2 Cross-Sectional Regressions.......................... 235
12.3 Fama-MacBeth Procedure.......................... 245
Problems......................................... 251
13 GMM for linear Factor Models in Discount Factor Form 253
13.1 GMM on the Pricing Errors Gives a Cross-Sectional
Regression........................................ 253
13.2 The Case of Excess Returns.......................... 256
13.3 Horse Races...................................... 259
13.4 Testing for Priced Factors: Lambdas or ft s?............. 260
13.5 Mean-Variance Frontier and Performance Evaluation .... 262
13.6 Testingfor Characteristics.......................___ 264
Problems......................................... 265
14 Maximum likelihood 267
14.1 Maximum Likelihood.............................. 268
14.2 ML is GMM on the Scores........................... 270
14.3 When Factors Are Returns, ML Prescribes a Time-Series
Regression........................................ 272
x Contents
14.4 When Factors Are Not Excess Returns, ML Prescribes
a Cross-Sectional Regression......................... 275
Problems......................................... 277
15 Time-Series, Cross-Section, and GMM/DF Tests of linear
Factor Models 279
15.1 Three Approaches to the CAPM in Size Portfolios....... 280
15.2 Monte Carlo and Bootstrap.......................... 286
16 Which Method? 293
Part m. Bonds and Options 309
17 Option Pricing 313
17.1 Background...................................... 313
17.2 Black-Scholes Formula............................. 320
Problems......................................... 326
18 Option Pricing without Perfect Replication 327
18.1 On the Edges of Arbitrage........................... 327
18.2 One-Period Good-Deal Bounds...................... 329
18.3 Multiple Periods and Continuous Time................ 336
18.4 Extensions, Other Approaches, and Bibliography....... 345
Problems......................................... 347
19 Term Structure of Interest Rates 349
19.1 Definitions and Notation............................ 349
19.2 Weld Curve and Expectations Hypothesis.............. 355
19.3 Term Structure Models—A Discrete-Time Introduction .. 357
19.4 Continuous-Time Term Structure Models.............. 362
19.5 Three Linear Term Structure Models ................. 368
19.6 Bibliography and Comments ........................ 379
Problems......................................... 382
Part IV. Empirical Surrey 385
20 Expected Returns in the Time Series and Cross Section 389
20.1 Time-Series Predictability........................... 391
20.2 The Cross Section: CAPM and Multifector Models....... 435
20.3 Summary and Interpretation ........................ 449
Problems......................................... 453
Contents xi
21 Equity Premium Puzzle and Consumption-Based Models 455
21.1 Equity Premium Puzzles............................ 456
21.2 New Models...................................... 465
21.3 Bibliography...................................... 481
Problems......................................... 485
PartV. Appendix 487
Appendix. Continuous Time 489
A.1 Brownian Motion.................................. 489
A.2 Diffusion Model................................... 491
A.3 Ito s Lemma...................................... 494
Problems......................................... 495
References 497
Author Index 513
Subject Index 517
|
| adam_txt |
Contents
Acknowledgments v
Preface xiii
Parti. Asset Pricing Theory 1
1 Consumption-Based Model and Overview 3
1.1 Basic Pricing Equation. 4
1.2 Marginal Rate of Substitution/Stochastic Discount Factor 6
1.3 Prices, Payofls, and Notation. 8
1.4 Classic Issues in Finance. 10
1.5 Discount Factors in Continuous Time. 25
Problems. 31
2 Applying the Basic Model 35
2.1 Assumptions and Applicability. 35
2.2 General Equilibrium. 37
2.3 Consumption-Based Model in Practice. 41
2.4 Alternative Asset Pricing Models: Overview. 43
Problems. 45
3 Contingent Claims Markets 49
3.1 Contingent Claims. 49
3.2 Risk-Neutral Probabilities. 51
3.3 Investors Again. 53
3.4 Risk Sharing. 54
3.5 State Diagram and Price Function. 56
4 The Discount Factor 61
4.1 Law of One Price and Existence of a Discount Factor . 62
4.2 No Arbitrage and Positive Discount Factors. 67
vii
viii Contents
4.3 An Alternative Formula, and x* in Continuous Time. 72
Problems.,. 75
5 Mean-Variance Frontier and Beta Representations 77
5.1 Expected Return-Beta Representations. 78
5.2 Mean-Variance Frontier: Intuition and Lagrangian
Characterization. 81
5.3 An Orthogonal Characterization of the Mean-Variance
Frontier. 84
5.4 Spanning the Mean-Variance Frontier. 88
5.5 A Compilation of Properties of R*, R**, and **. 89
5.6 Mean-Variance Frontiers for Discount Factors: The
Hansen-Jagannathan Bounds. 92
Problems. 97
6 Relation between Discount Factors, Betas, and
Mean-Variance Frontiers 99
6.1 From Discount Factors to Beta Representations. 100
6.2 From Mean-Variance Frontier to a Discount Factor and
Beta Representation. ■. 103
6.3 Factor Models and Discount Factors. 106
6.4 Discount Factors and Beta Models to Mean-Variance
Frontier. 110
6.5 Three Risk-Free Rate Analogues. Ill
6.6 Mean-Variance Special Cases with No Risk-Free Rate. 117
Problems. 120
7 Implications of Existence and Equivalence Theorems 121
8 Conditioning Information 131
8.1 Scaled Payoffe. 132
8.2 Sufficiency of Adding Scaled Returns. 134
8.3 Conditional and Unconditional Models. 136
8.4 Scaled Factors: A Partial Solution. 144
8.5 Summary. 145
Problems. 146
9 Factor Pricing Models 149
9.1 Capital Asset Pricing Model (CAPM). 152
9.2 Intertemporal Capital Asset Pricing Model (ICAPM). 165
9.3 Comments on the CAPM and ICAPM. 167
9.4 Arbitrage Pricing Theory (APT). 173
Contents JX
9.5 APTvs.ICAPM. 182
Problems. 183
Part II. Estimating and Evaluating Asset Pricing Models 185
10 GMM in Explicit Discount Factor Models 189
10.1 The Recipe. 190
10.2 Interpreting the GMM Procedure. 192
10.3 Applying GMM. 196
11 GMM: General Formulas and Applications 201
11.1 General GMM Formulas. 202
11.2 Testing Moments. 206
11.3 Standard Errors of Anything by Delta Method. 207
11.4 Using GMM for Regressions. 207
11.5 Prespecified Weighting Matrices and Moment Conditions 210
11.6 Estimating on One Group of Moments, Testing
on Another. 218
11.7 Estimating the Spectral Density Matrix. 219
Problems. 227
12 Regression-Based Tests of linear Factor Models 229
12.1 Time-Series Regressions. 230
12.2 Cross-Sectional Regressions. 235
12.3 Fama-MacBeth Procedure. 245
Problems. 251
13 GMM for linear Factor Models in Discount Factor Form 253
13.1 GMM on the Pricing Errors Gives a Cross-Sectional
Regression. 253
13.2 The Case of Excess Returns. 256
13.3 Horse Races. 259
13.4 Testing for Priced Factors: Lambdas or ft's?. 260
13.5 Mean-Variance Frontier and Performance Evaluation . 262
13.6 Testingfor Characteristics._ 264
Problems. 265
14 Maximum likelihood 267
14.1 Maximum Likelihood. 268
14.2 ML is GMM on the Scores. 270
14.3 When Factors Are Returns, ML Prescribes a Time-Series
Regression. 272
x Contents
14.4 When Factors Are Not Excess Returns, ML Prescribes
a Cross-Sectional Regression. 275
Problems. 277
15 Time-Series, Cross-Section, and GMM/DF Tests of linear
Factor Models 279
15.1 Three Approaches to the CAPM in Size Portfolios. 280
15.2 Monte Carlo and Bootstrap. 286
16 Which Method? 293
Part m. Bonds and Options 309
17 Option Pricing 313
17.1 Background. 313
17.2 Black-Scholes Formula. 320
Problems. 326
18 Option Pricing without Perfect Replication 327
18.1 On the Edges of Arbitrage. 327
18.2 One-Period Good-Deal Bounds. 329
18.3 Multiple Periods and Continuous Time. 336
18.4 Extensions, Other Approaches, and Bibliography. 345
Problems. 347
19 Term Structure of Interest Rates 349
19.1 Definitions and Notation. 349
19.2 "Weld Curve and Expectations Hypothesis. 355
19.3 Term Structure Models—A Discrete-Time Introduction . 357
19.4 Continuous-Time Term Structure Models. 362
19.5 Three Linear Term Structure Models . 368
19.6 Bibliography and Comments . 379
Problems. 382
Part IV. Empirical Surrey 385
20 Expected Returns in the Time Series and Cross Section 389
20.1 Time-Series Predictability. 391
20.2 The Cross Section: CAPM and Multifector Models. 435
20.3 Summary and Interpretation . 449
Problems. 453
Contents xi
21 Equity Premium Puzzle and Consumption-Based Models 455
21.1 Equity Premium Puzzles. 456
21.2 New Models. 465
21.3 Bibliography. 481
Problems. 485
PartV. Appendix 487
Appendix. Continuous Time 489
A.1 Brownian Motion. 489
A.2 Diffusion Model. 491
A.3 Ito's Lemma. 494
Problems. 495
References 497
Author Index 513
Subject Index 517 |
| any_adam_object | 1 |
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| author | Cochrane, John H. 1957- |
| author_GND | (DE-588)124571069 |
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| dewey-ones | 332 - Financial economics |
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| dewey-search | 332.6 22 332.6 |
| dewey-sort | 3332.6 222 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| edition | revised edition |
| format | Book |
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| id | DE-604.BV020866018 |
| illustrated | Illustrated |
| index_date | 2024-07-02T13:23:24Z |
| indexdate | 2025-02-20T06:36:42Z |
| institution | BVB |
| isbn | 0691121370 9780691121376 |
| language | English |
| lccn | 2004050561 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-014183894 |
| oclc_num | 55518499 |
| open_access_boolean | |
| owner | DE-19 DE-BY-UBM DE-739 DE-N2 DE-384 DE-355 DE-BY-UBR DE-945 DE-473 DE-BY-UBG DE-521 DE-83 DE-11 DE-M382 DE-523 DE-188 DE-20 DE-862 DE-BY-FWS DE-634 |
| owner_facet | DE-19 DE-BY-UBM DE-739 DE-N2 DE-384 DE-355 DE-BY-UBR DE-945 DE-473 DE-BY-UBG DE-521 DE-83 DE-11 DE-M382 DE-523 DE-188 DE-20 DE-862 DE-BY-FWS DE-634 |
| physical | XVII, 533 Seiten graph. Darst. |
| publishDate | 2005 |
| publishDateSearch | 2005 |
| publishDateSort | 2005 |
| publisher | Princeton University Press |
| record_format | marc |
| spellingShingle | Cochrane, John H. 1957- Asset pricing Actif financier rasuqam Economische modellen gtt Effecten gtt Fixation des prix rasuqam Kapitaalgoederen gtt Modèle d'évaluation des actifs financiers rasuqam Modèle de fixation du prix des actifs Obligation (Valeur mobilière) rasuqam Option (Finances) rasuqam Prijsvorming gtt Valeurs mobilières Capital assets pricing model Securities Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Preismodell (DE-588)4175626-5 gnd Kapitalanlage (DE-588)4073213-7 gnd Finanzierungstheorie (DE-588)4154418-3 gnd |
| subject_GND | (DE-588)4121078-5 (DE-588)4175626-5 (DE-588)4073213-7 (DE-588)4154418-3 |
| title | Asset pricing |
| title_auth | Asset pricing |
| title_exact_search | Asset pricing |
| title_exact_search_txtP | Asset pricing |
| title_full | Asset pricing John H. Cochrane |
| title_fullStr | Asset pricing John H. Cochrane |
| title_full_unstemmed | Asset pricing John H. Cochrane |
| title_short | Asset pricing |
| title_sort | asset pricing |
| topic | Actif financier rasuqam Economische modellen gtt Effecten gtt Fixation des prix rasuqam Kapitaalgoederen gtt Modèle d'évaluation des actifs financiers rasuqam Modèle de fixation du prix des actifs Obligation (Valeur mobilière) rasuqam Option (Finances) rasuqam Prijsvorming gtt Valeurs mobilières Capital assets pricing model Securities Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Preismodell (DE-588)4175626-5 gnd Kapitalanlage (DE-588)4073213-7 gnd Finanzierungstheorie (DE-588)4154418-3 gnd |
| topic_facet | Actif financier Economische modellen Effecten Fixation des prix Kapitaalgoederen Modèle d'évaluation des actifs financiers Modèle de fixation du prix des actifs Obligation (Valeur mobilière) Option (Finances) Prijsvorming Valeurs mobilières Capital assets pricing model Securities Capital-Asset-Pricing-Modell Preismodell Kapitalanlage Finanzierungstheorie |
| url | http://www.loc.gov/catdir/description/prin051/2004050561.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014183894&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT cochranejohnh assetpricing |
Indexes
Sonderstandort Fakultät
| Call Number: |
2000 QK 622 C663 |
|---|---|
| Copy 1 | nicht ausleihbar Checked out – Due: 31.12.2099 Recall This |