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Asset pricing /

Cochrane, John H.

Asset pricing /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Asset pricing /John H. Cochrane.
Author:	Cochrane, John H.
Published:	Princeton, N.J. :Princeton University Press,2005.
Description:	xvii, 533 p. :ill. ;24 cm.
Subject:	Capital assets pricing model.
ISBN:	0691121370 (cl : alk. paper) :

Asset pricing /
Cochrane, John H.

Asset pricing /John H. Cochrane. - Rev. ed. - Princeton, N.J. :Princeton University Press,2005. - xvii, 533 p. :ill. ;24 cm.

Includes bibliographical references (p. 497-511) and indexes.

Consumption-based model and overview -- Applying the basic model -- Contingent claims markets -- The discount factor -- Mean-variance frontier and beta representations -- Relation between discount factors, betas, and mean-variance frontiers -- Implications of existence and equivalence theorems -- Conditioning information -- Factor pricing models -- GMM in explicit discount factor models -- GMM : general formulas and applications -- Regression-based tests of linear factor models -- GMM for linear factor models in discount factor form -- Maximum likelihood -- Time-series, cross-section, and GMM/DF tests of linear factor models -- Which method? -- Option pricing -- Option pricing without perfect replication -- Term structure of interest rates -- Expected returns in the time series and cross section -- Equity premium puzzle and consumption-based models -- Appendix: -- A.1 Brownian motion -- A.2 Diffusion model -- A.3 Ito's Lemma

ISBN: 0691121370 (cl : alk. paper) :NT$2685

LCCN: 2004050561

Nat. Bib. No.: GBA483851bnbSubjects--Topical Terms:

187119
Capital assets pricing model.

LC Class. No.: HG4636 / .C663 2005

Dewey Class. No.: 332.6

Asset pricing /
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008 090528s2005 njua 001 0 eng
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015 $2 bnb $a GBA483851
020 $a 0691121370 (cl : alk. paper) : $c NT$2685
035 $a 00268713
040 $a DLC $c DLC $d BAKER $d DLC $d IXA $d UKM $d XMA $d YDX
041 0 $a eng
042 $a pcc
050 4 $a HG4636 $b .C663 2005
082 0 0 $2 22 $a 332.6
100 $a Cochrane, John H. $q (John Howland) $3 437028
245 1 0 $a Asset pricing / $c John H. Cochrane.
250 $a Rev. ed.
260 $a Princeton, N.J. : $c 2005. $b Princeton University Press,
300 $a xvii, 533 p. : $b ill. ; $c 24 cm.
504 $a Includes bibliographical references (p. 497-511) and indexes.
505 0 $a Consumption-based model and overview -- Applying the basic model -- Contingent claims markets -- The discount factor -- Mean-variance frontier and beta representations -- Relation between discount factors, betas, and mean-variance frontiers -- Implications of existence and equivalence theorems -- Conditioning information -- Factor pricing models -- GMM in explicit discount factor models -- GMM : general formulas and applications -- Regression-based tests of linear factor models -- GMM for linear factor models in discount factor form -- Maximum likelihood -- Time-series, cross-section, and GMM/DF tests of linear factor models -- Which method? -- Option pricing -- Option pricing without perfect replication -- Term structure of interest rates -- Expected returns in the time series and cross section -- Equity premium puzzle and consumption-based models -- Appendix: -- A.1 Brownian motion -- A.2 Diffusion model -- A.3 Ito's Lemma
650 $a Capital assets pricing model. $3 187119
650 $a Securities. $3 210042