Asset Pricing

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Asset Pricing

John H. Cochrane
Asset Pricing Book PDF

Author : John H. Cochrane
Publisher : Princeton University Press
Page : 560 pages
File Size : 41,5 Mb
Release : 2009-04-11
Category : Business & Economics
ISBN : 9781400829132

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Asset Pricing by John H. Cochrane Pdf

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.

A Behavioral Approach to Asset Pricing

Hersh Shefrin
A Behavioral Approach to Asset Pricing Book PDF

Author : Hersh Shefrin
Publisher : Elsevier
Page : 618 pages
File Size : 51,9 Mb
Release : 2008-05-19
Category : Business & Economics
ISBN : 0080482244

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A Behavioral Approach to Asset Pricing by Hersh Shefrin Pdf

Behavioral finance is the study of how psychology affects financial decision making and financial markets. It is increasingly becoming the common way of understanding investor behavior and stock market activity. Incorporating the latest research and theory, Shefrin offers both a strong theory and efficient empirical tools that address derivatives, fixed income securities, mean-variance efficient portfolios, and the market portfolio. The book provides a series of examples to illustrate the theory. The second edition continues the tradition of the first edition by being the one and only book to focus completely on how behavioral finance principles affect asset pricing, now with its theory deepened and enriched by a plethora of research since the first edition

Empirical Asset Pricing

Wayne Ferson
Empirical Asset Pricing Book PDF

Author : Wayne Ferson
Publisher : MIT Press
Page : 497 pages
File Size : 47,7 Mb
Release : 2019-03-12
Category : Business & Economics
ISBN : 9780262039376

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Empirical Asset Pricing by Wayne Ferson Pdf

An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.

Asset Price Bubbles

William Curt Hunter,George G. Kaufman,Michael Pomerleano
Asset Price Bubbles Book PDF

Author : William Curt Hunter,George G. Kaufman,Michael Pomerleano
Publisher : MIT Press
Page : 650 pages
File Size : 46,6 Mb
Release : 2005
Category : Business & Economics
ISBN : 0262582538

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Asset Price Bubbles by William Curt Hunter,George G. Kaufman,Michael Pomerleano Pdf

A study of asset price bubbles and the implications for preventing financial instability.

Financial Asset Pricing Theory

Claus Munk
Financial Asset Pricing Theory Book PDF

Author : Claus Munk
Publisher : Oxford University Press, USA
Page : 598 pages
File Size : 40,7 Mb
Release : 2013-04-18
Category : Business & Economics
ISBN : 9780199585496

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Financial Asset Pricing Theory by Claus Munk Pdf

The book presents models for the pricing of financial assets such as stocks, bonds, and options. The models are formulated and analyzed using concepts and techniques from mathematics and probability theory. It presents important classic models and some recent 'state-of-the-art' models that outperform the classics.

Asset Pricing and Portfolio Choice Theory

Kerry Back
Asset Pricing and Portfolio Choice Theory Book PDF

Author : Kerry Back
Publisher : Financial Management Associati
Page : 504 pages
File Size : 40,5 Mb
Release : 2010
Category : Business & Economics
ISBN : 9780195380613

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Asset Pricing and Portfolio Choice Theory by Kerry Back Pdf

This book is intended as a textbook for Ph.D. students in finance and as a reference book for academics. It is written at an introductory level but includes detailed proofs and calculations as section appendices. It covers the classical results on single-period, discrete-time, and continuous-time models. It also treats various proposed explanations for the equity premium and risk-free rate puzzles: persistent heterogeneous idiosyncratic risks, internal habits, external habits, and recursive utility. Most of the book assumes rational behavior, but two topics important for behavioral finance are covered: heterogeneous beliefs and non-expected-utility preferences. There are also chapters on asymmetric information and production models. The book includes numerous exercises designed to provide practice with the concepts and also to introduce additional results. Each chapter concludes with a notes and references section that supplies references to additional developments in the field.

Machine Learning in Asset Pricing

Stefan Nagel
Machine Learning in Asset Pricing Book PDF

Author : Stefan Nagel
Publisher : Princeton University Press
Page : 156 pages
File Size : 55,6 Mb
Release : 2021-05-11
Category : Business & Economics
ISBN : 9780691218700

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Machine Learning in Asset Pricing by Stefan Nagel Pdf

A groundbreaking, authoritative introduction to how machine learning can be applied to asset pricing Investors in financial markets are faced with an abundance of potentially value-relevant information from a wide variety of different sources. In such data-rich, high-dimensional environments, techniques from the rapidly advancing field of machine learning (ML) are well-suited for solving prediction problems. Accordingly, ML methods are quickly becoming part of the toolkit in asset pricing research and quantitative investing. In this book, Stefan Nagel examines the promises and challenges of ML applications in asset pricing. Asset pricing problems are substantially different from the settings for which ML tools were developed originally. To realize the potential of ML methods, they must be adapted for the specific conditions in asset pricing applications. Economic considerations, such as portfolio optimization, absence of near arbitrage, and investor learning can guide the selection and modification of ML tools. Beginning with a brief survey of basic supervised ML methods, Nagel then discusses the application of these techniques in empirical research in asset pricing and shows how they promise to advance the theoretical modeling of financial markets. Machine Learning in Asset Pricing presents the exciting possibilities of using cutting-edge methods in research on financial asset valuation.

Advances in Corporate Finance and Asset Pricing

Luc Renneboog
Advances in Corporate Finance and Asset Pricing Book PDF

Author : Luc Renneboog
Publisher : Emerald Group Publishing
Page : 569 pages
File Size : 53,9 Mb
Release : 2006-03-02
Category : Business & Economics
ISBN : 9780444527233

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Advances in Corporate Finance and Asset Pricing by Luc Renneboog Pdf

Incorporates estimation risk in portfolio choice and also covers a risk measure for retail investment products, understanding and exploiting momentum in stock returns. This book includes: Introduction - Corporate restructuring; mergers and acquisitions in Europe; and the performance of acquisitive companies in the US.

Asset Pricing in Discrete Time

Ser-Huang Poon,Richard Stapleton
Asset Pricing in Discrete Time Book PDF

Author : Ser-Huang Poon,Richard Stapleton
Publisher : OUP Oxford
Page : 156 pages
File Size : 46,6 Mb
Release : 2005-01-13
Category : Business & Economics
ISBN : 9780191533891

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Asset Pricing in Discrete Time by Ser-Huang Poon,Richard Stapleton Pdf

Relying on the existence, in a complete market, of a pricing kernel, this book covers the pricing of assets, derivatives, and bonds in a discrete time, complete markets framework. It is primarily aimed at advanced Masters and PhD students in finance. — Covers asset pricing in a single period model, deriving a simple complete market pricing model and using Stein's lemma to derive a version of the Capital Asset Pricing Model. — Looks more deeply into some of the utility determinants of the pricing kernel, investigating in particular the effect of non-marketable background risks on the shape of the pricing kernel. — Derives the prices of European-style contingent claims, in particular call options, in a one-period model; derives the Black-Scholes model assuming a lognormal distribution for the asset and a pricing kernel with constant elasticity, and emphasizes the idea of a risk-neutral valuation relationship between the price of a contingent claim on an asset and the underlying asset price. — Extends the analysis to contingent claims on assets with non-lognormal distributions and considers the pricing of claims when risk-neutral valuation relationships do not exist. — Expands the treatment of asset pricing to a multi-period economy, deriving prices in a rational expectations equilibrium. — Uses the rational expectations framework to analyse the pricing of forward and futures contracts on assets and derivatives. — Analyses the pricing of bonds given stochastic interest rates, and then uses this methodology to model the drift of forward rates, and as a special case the drift of the forward London Interbank Offer Rate in the LIBOR Market Model.

The Paradox of Asset Pricing

Peter Bossaerts
The Paradox of Asset Pricing Book PDF

Author : Peter Bossaerts
Publisher : Princeton University Press
Page : 187 pages
File Size : 47,5 Mb
Release : 2013-12-03
Category : Business & Economics
ISBN : 9781400850662

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The Paradox of Asset Pricing by Peter Bossaerts Pdf

Asset pricing theory abounds with elegant mathematical models. The logic is so compelling that the models are widely used in policy, from banking, investments, and corporate finance to government. To what extent, however, can these models predict what actually happens in financial markets? In The Paradox of Asset Pricing, a leading financial researcher argues forcefully that the empirical record is weak at best. Peter Bossaerts undertakes the most thorough, technically sound investigation in many years into the scientific character of the pricing of financial assets. He probes this conundrum by modeling a decidedly volatile phenomenon that, he says, the world of finance has forgotten in its enthusiasm for the efficient markets hypothesis--speculation. Bossaerts writes that the existing empirical evidence may be tainted by the assumptions needed to make sense of historical field data or by reanalysis of the same data. To address the first problem, he demonstrates that one central assumption--that markets are efficient processors of information, that risk is a knowable quantity, and so on--can be relaxed substantially while retaining core elements of the existing methodology. The new approach brings novel insights to old data. As for the second problem, he proposes that asset pricing theory be studied through experiments in which subjects trade purposely designed assets for real money. This book will be welcomed by finance scholars and all those math--and statistics-minded readers interested in knowing whether there is science beyond the mathematics of finance. This book provided the foundation for subsequent journal articles that won two prestigious awards: the 2003 Journal of Financial Markets Best Paper Award and the 2004 Goldman Sachs Asset Management Best Research Paper for the Review of Finance.

Empirical Asset Pricing

Turan G. Bali,Robert F. Engle,Scott Murray
Empirical Asset Pricing Book PDF

Author : Turan G. Bali,Robert F. Engle,Scott Murray
Publisher : John Wiley & Sons
Page : 512 pages
File Size : 41,7 Mb
Release : 2016-02-26
Category : Business & Economics
ISBN : 9781118589472

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Empirical Asset Pricing by Turan G. Bali,Robert F. Engle,Scott Murray Pdf

“Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional.” Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in Economic Sciences “The empirical analysis of the cross-section of stock returns is a monumental achievement of half a century of finance research. Both the established facts and the methods used to discover them have subtle complexities that can mislead casual observers and novice researchers. Bali, Engle, and Murray’s clear and careful guide to these issues provides a firm foundation for future discoveries.” John Campbell, Morton L. and Carole S. Olshan Professor of Economics, Harvard University “Bali, Engle, and Murray provide clear and accessible descriptions of many of the most important empirical techniques and results in asset pricing.” Kenneth R. French, Roth Family Distinguished Professor of Finance, Tuck School of Business, Dartmouth College “This exciting new book presents a thorough review of what we know about the cross-section of stock returns. Given its comprehensive nature, systematic approach, and easy-to-understand language, the book is a valuable resource for any introductory PhD class in empirical asset pricing.” Lubos Pastor, Charles P. McQuaid Professor of Finance, University of Chicago Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research. The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through detailed examples. The second half of the book applies these techniques to demonstrate the most salient patterns observed in stock returns. The phenomena documented form the basis for a range of investment strategies as well as the foundations of contemporary empirical asset pricing research. Empirical Asset Pricing: The Cross Section of Stock Returns also includes: Discussions on the driving forces behind the patterns observed in the stock market An extensive set of results that serve as a reference for practitioners and academics alike Numerous references to both contemporary and foundational research articles Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management. The book is also an indispensable reference for researchers and practitioners in finance and economics. Turan G. Bali, PhD, is the Robert Parker Chair Professor of Finance in the McDonough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the coauthor of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley. Robert F. Engle, PhD, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics. Scott Murray, PhD, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.

Dynamic Asset Pricing Theory

Darrell Duffie
Dynamic Asset Pricing Theory Book PDF

Author : Darrell Duffie
Publisher : Princeton University Press
Page : 488 pages
File Size : 41,7 Mb
Release : 2010-01-27
Category : Business & Economics
ISBN : 9781400829200

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Dynamic Asset Pricing Theory by Darrell Duffie Pdf

This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis, so as to draw connections between these concepts and to make plain the similarities between discrete and continuous-time models. Readers will be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps--for example, those associated with Poisson arrivals--in order to accommodate surprise events such as bond defaults. Applications include term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.

The Capital Asset Pricing Model in the 21st Century

Haim Levy
The Capital Asset Pricing Model in the 21st Century Book PDF

Author : Haim Levy
Publisher : Cambridge University Press
Page : 457 pages
File Size : 45,8 Mb
Release : 2011-10-30
Category : Business & Economics
ISBN : 9781139503020

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The Capital Asset Pricing Model in the 21st Century by Haim Levy Pdf

The Capital Asset Pricing Model (CAPM) and the mean-variance (M-V) rule, which are based on classic expected utility theory, have been heavily criticized theoretically and empirically. The advent of behavioral economics, prospect theory and other psychology-minded approaches in finance challenges the rational investor model from which CAPM and M-V derive. Haim Levy argues that the tension between the classic financial models and behavioral economics approaches is more apparent than real. This book aims to relax the tension between the two paradigms. Specifically, Professor Levy shows that although behavioral economics contradicts aspects of expected utility theory, CAPM and M-V are intact in both expected utility theory and cumulative prospect theory frameworks. There is furthermore no evidence to reject CAPM empirically when ex-ante parameters are employed. Professionals may thus comfortably teach and use CAPM and behavioral economics or cumulative prospect theory as coexisting paradigms.

A New Model of Capital Asset Prices

James W. Kolari,Wei Liu,Jianhua Z. Huang
A New Model of Capital Asset Prices Book PDF

Author : James W. Kolari,Wei Liu,Jianhua Z. Huang
Publisher : Springer Nature
Page : 326 pages
File Size : 40,7 Mb
Release : 2021-03-01
Category : Business & Economics
ISBN : 9783030651978

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A New Model of Capital Asset Prices by James W. Kolari,Wei Liu,Jianhua Z. Huang Pdf

This book proposes a new capital asset pricing model dubbed the ZCAPM that outperforms other popular models in empirical tests using US stock returns. The ZCAPM is derived from Fischer Black’s well-known zero-beta CAPM, itself a more general form of the famous capital asset pricing model (CAPM) by 1990 Nobel Laureate William Sharpe and others. It is widely accepted that the CAPM has failed in its theoretical relation between market beta risk and average stock returns, as numerous studies have shown that it does not work in the real world with empirical stock return data. The upshot of the CAPM’s failure is that many new factors have been proposed by researchers. However, the number of factors proposed by authors has steadily increased into the hundreds over the past three decades. This new ZCAPM is a path-breaking asset pricing model that is shown to outperform popular models currently in practice in finance across different test assets and time periods. Since asset pricing is central to the field of finance, it can be broadly employed across many areas, including investment analysis, cost of equity analyses, valuation, corporate decision making, pension portfolio management, etc. The ZCAPM represents a revolution in finance that proves the CAPM as conceived by Sharpe and others is alive and well in a new form, and will certainly be of interest to academics, researchers, students, and professionals of finance, investing, and economics.

Stochastic Methods in Asset Pricing

Andrew Lyasoff
Stochastic Methods in Asset Pricing Book PDF

Author : Andrew Lyasoff
Publisher : MIT Press
Page : 632 pages
File Size : 46,8 Mb
Release : 2017-08-25
Category : Business & Economics
ISBN : 9780262036559

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Stochastic Methods in Asset Pricing by Andrew Lyasoff Pdf

A comprehensive overview of the theory of stochastic processes and its connections to asset pricing, accompanied by some concrete applications. This book presents a self-contained, comprehensive, and yet concise and condensed overview of the theory and methods of probability, integration, stochastic processes, optimal control, and their connections to the principles of asset pricing. The book is broader in scope than other introductory-level graduate texts on the subject, requires fewer prerequisites, and covers the relevant material at greater depth, mainly without rigorous technical proofs. The book brings to an introductory level certain concepts and topics that are usually found in advanced research monographs on stochastic processes and asset pricing, and it attempts to establish greater clarity on the connections between these two fields. The book begins with measure-theoretic probability and integration, and then develops the classical tools of stochastic calculus, including stochastic calculus with jumps and Lévy processes. For asset pricing, the book begins with a brief overview of risk preferences and general equilibrium in incomplete finite endowment economies, followed by the classical asset pricing setup in continuous time. The goal is to present a coherent single overview. For example, the text introduces discrete-time martingales as a consequence of market equilibrium considerations and connects them to the stochastic discount factors before offering a general definition. It covers concrete option pricing models (including stochastic volatility, exchange options, and the exercise of American options), Merton's investment–consumption problem, and several other applications. The book includes more than 450 exercises (with detailed hints). Appendixes cover analysis and topology and computer code related to the practical applications discussed in the text.