Formats
| Format | |
|---|---|
| BibTeX | |
| MARCXML | |
| TextMARC | |
| MARC | |
| DublinCore | |
| EndNote | |
| NLM | |
| RefWorks | |
| RIS |
Items
Details
Title
Asset pricing / John H. Cochrane.
Published
Princeton, N.J. : Princeton University Press, [2001]
Copyright
©2001
Call Number
HG4636 .C56 2001
ISBN
0691074984
Description
xvii, 530 pages : illustrations ; 25 cm
System Control No.
(OCoLC)45320635
Bibliography, etc. Note
Includes bibliographical references (pages 497-510) and indexes.
Record Appears in
Table of Contents
Acknowledgments
Preface
Pt. I
Asset Pricing Theory
3
1Consumption-Based Model and Overview
5
2Applying the Basic Model
37
3Contingent Claims Markets
51
4The Discount Factor
63
5Mean-Variance Frontier and Beta Representations
79
6Relation between Discount Factors, Betas, and Mean-Variance Frontiers
101
7Implications of Existence and Equivalence Theorems
123
8Conditioning Information
133
9Factor Pricing Model
149
Pt. II
Estimating and Evaluating Asset Pricing Models
185
10GMM in Explicit Discount Factor Models
189
11GMM: General Formulas and Applications
201
12Regression-Based Tests of Linear Factor Models
229
13GMM for Linear Factor Models in Discount Factor Form
253
14Maximum Likelihood
265
15Time Series, Cross-Section, and GMM/DF Tests of Linear Factor Models
277
16Which Method?
291
Pt. III
Bonds and Options
307
17Option Pricing
311
18Option Pricing without Perfect Replication
325
19Term Structure of Interest Rates
347
Pt. IV
Empirical Survey
383
20Expected Returns in the Time Series and Cross Section
387
21Equity Premium Puzzle and Consumption-Based Models
455
Pt. V
Appendix
487
App
Continuous Time
489
References
497
Author Index
511
Subject Index
515