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Asset Pricing: (Revised) |  | Author: John H. Cochrane
Publisher: Princeton University Press
Category: Book
List Price: $99.50
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Seller: Speedy Hen
Rating:  32 reviews
Sales Rank: 54546
Media: Hardcover
Edition: Revised
Pages: 568
Number Of Items: 1
Shipping Weight (lbs): 2
Dimensions (in): 9.5 x 6.4 x 1.7
ISBN: 0691121370
Dewey Decimal Number: 332.6
EAN: 9780691121376
ASIN: 0691121370
Publication Date: January 3, 2005
Availability: Usually ships in 1-2 business days
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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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Showing reviews 1-5 of 32
 The best book for asset pricing January 22, 2010
Jian Du (MA, USA)
I don't understand what those people leaving bad reviews really want from an asset pricing book. It's sad that the average review is lower than 4 so far. For those guys who want to find some cookbook for asset pricing, I should say: it's not suitable for you, but it doesn't mean it's not good.
This is definitely the best asset pricing book I've ever read. I want to give it a 10 out of 5.
It tries to put all the asset pricing issues in a single framework, which makes the topic much more interesting and much easier to understand.
It is a very useful book for the finance academicians. I became a fan of John Cochrane because of this book.
 Hides complexity November 13, 2009
Joan Violet (India)
I have just finished studying the first, theoretical, part of this book and it was a maddening experience. The problem is that Cochrane tries too hard to make things appear simpler than they are. In particular, when using random variables he switches without much warning between treating them just like scalars and treating them as members of a vector space. When doing the latter he does not explicitly mention that the inner product he is using is x.y = E(xy) and not the usual Euclidean dot product. The proofs are sketchy and full of hand-waving. With enough care and effort and a sufficiently thorough mathematical background you can convince yourself that everything turns out to be right at the end, but if you are going to put in that much of an investment you may as well read Duffie's Dynamic Asset Pricing Theory which is much more precise.
 Pretty good book but a little bit of an informal approach December 25, 2008
C. Ang (Chicago, IL)
0 out of 1 found this review helpful
I finished my second pass of Cochrane's Asset Pricing recently, and this book certainly reads a lot smoother (easier) than most other graduate texts. This may partly be because it's my second time reading it, but it may also be because of the sometimes informal approach that Cochrane takes. If you are looking for a different approach or a unified approach to asset pricing, then this book may be for you. Cochrane uses the p=E(mx) formulation that prices assets using the payoffs and a stochastic discount factor and tries to go back to this relation throughout his book. He also promotes the Generalized Method of Moments (GMM) approach and provides decent arguments for why this approach should be used. He does a decent attempt to show that the different methods of time series and cross-sectional regression, including GMM, end up doing the same thing.
Excellent for Economists January 15, 2008
Jair Ojeda Joya (Boston, MA USA)
0 out of 1 found this review helpful
It's a very good introduction to both theoretical and empirical financial economics. Despite readers need to have a good background on macroeconomics and econometrics,after reading this book they will be able to understand the most recent articles by Cochrane, Campbell, Shiller and all the younger researchers who are doing theoretical and empirical research on the determinants of not only stocks prices but also for bonds, options and exchange rates. This book might not be useful for somebody who what to learn about the analysis and trading of financial instruments on a daily basis.
I wanted to love this book July 10, 2007
Giuseppe A. Paleologo (Riverdale, NY United States)
13 out of 15 found this review helpful
It's probably true that the first book you study about a subject inevitably determines your approach to it afterwards. My first book on asset pricing was Duffie's Dynamic Asset Pricing Theory (2nd ed), and it has perhaps forever biased my judgment. Given this caveat, I wanted to like this book. For econometricians, the stochastic discount approach is increasingly important, and Cochrane's articles are engaging and well written. But, no matter what the blurbs on the back cover of the book say, or what some Amazon reviewers claim, this is a flawed book. It's true that "the hurdles of asset pricing are really conceptual rather than mathematical" (last sentence in the book preface), but this is no excuse for being sloppy, and sloppiness in this book abounds. Assumptions are not clear; theorems are imprecisely stated. Continuous-time formulations pop up without explanation of the variables or of the motivation behind them. Expected-utility derivations are the main tool used by the author, but the connection between no-arbitrage, utility maximization and equilibrium are not clear, and one is led to think that the stochastic discount is unique to this line of reasoning. On the positive side, there are many interesting results and many intuitive explanations. My recommendation: i) read Duffie or Pliska first; ii) take the plunge and download Hansen & Richard's 1987 Econometrica paper (very dense); iii) read Cochrane, but reobtain all the results independently from what you have learned in in i) and ii).
Showing reviews 1-5 of 32
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