Asset Pricing（John H. Cochrane）资产定价经典

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fama 的女婿大作，资产定价的经典书，值得一读！
特别是后面 GMM部分，对于做实证研究的特别重要！
重点推荐！
Product Description:


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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关键词：Cochrane Cochran Pricing Pricin Asset 资产 John Pricing Asset Cochrane

看看。。。。。。。。。。。。。。。

经典之作，应该好好阅读！

经典之作，不容错过！

不厚道，抢钱

多谢楼主~~

物有所值 支持支持

谢谢斑竹~~经典之作不得不看啊

稍稍有点贵，但是买了。。

真的是女婿啊，太强了