Информационный центр "Центральный Дом Знаний"
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Cochrane J. Asset pricing (2001)Cochrane J. 
Contents Acknowledgments 2 Preface 8 Part I. Asset pricing theory 12 1 Consumption-based model and overview 13 1.1 Basic pricing equation 14 1.2 Marginal rate of substitution/stochastic discount factor 16 1.3 Prices, payoffs and notation 17 1.4 Classic issues in finance 20 1.5 Discount factors in continuous time 33 1.6 Problems 38 2 Applying the basic model 41 2.1 Assumptions and applicability 41 2.2 General Equilibrium 43 2.3 Consumption-based model in practice 47 2.4 Alternative asset pricing models: Overview 49 2.5 Problems 51 3 Contingent Claims Markets 54 3.1 Contingent claims 54 3.2 Risk neutral probabilities 55 3.3 Investors again 57 3.4 Risk sharing 59 3.5 State diagram and price function 60 4 The discount factor 64 4.1 Law of one price and existence of a discount factor 64 4.2 No-Arbitrage and positive discount factors 69 4.3 An alternative formula, and x* in continuous time 74 4.4 Problems 76 5 Mean-variance frontier and beta representations 77 5. 1 Expected return - Beta representations 77 5.2 Mean-variance frontier: Intuition and Lagrangian characterization 80 5.3 An orthogonal characterization ofthe mean-variance frontier 83 5.4 Spanning the mean-variance frontier 88 5.5 A compilation of properties of R* ,Re* and x* 89 5.6 Mean-variance frontiers for m: the Hansen-Jagannathanbounds 92 5.7 Problems 97 6 Relation between discount factors, betas, and mean-variance frontiers 98 6.1 From discount factors to beta representations 98 6.2 From mean-variance frontier to a discount factor and beta representation 101 6.3 Factor models and discount factors 104 6.4 Discount factors and beta models to mean - variance frontier 108 6.5 Three riskfree rate analogues 109 6.6 Mean-variance special cases with no riskfree rate 115 6.7 Problems 118 7 Implications of existence and equivalence theorems 120 8 Conditioning information 128 8.1 Scaled payoffs 129 8.2 Sufficiency of adding scaled returns 131 8.3 Conditional and unconditional models 133 8.4 Scaled factors: a partial solution 140 8.5 Summary 141 8.6 Problems 142 9 Factor pricing models 143 9.1 Capital Asset Pricing Model (CAPM) 145 9.2 Intertemporal Capital Asset Pricing Model (ICAPM) 156 9.3 Comments on the CAPM and ICAPM 158 9.4 Arbitrage Pricing Theory (APT) 162 9.5 APT vs. ICAPM 171 9.6 Problems 172 Part II. Estimating and evaluating asset pricing models 174 10 GMM in explicit discount factor models 177 10.1 The Recipe 177 10.2 Interpreting the GMM procedure 180 10.3 Applying GMM 184 11 GMM: general formulas and applications 188 11.1 General GMM formulas 188 11.2 Testing moments 192 11.3 Standard errors of anything by delta method 193 11.4 Using GMM for regressions 194 11.5 Prespecified weighting matrices and moment conditions 196 11.6 Estimating on one group of moments, testing on another. 205 11.7 Estimating the spectral density matrix 205 11.8 Problems 212 12 Regression-based tests of linear factor models 214 12.1 Time-series regressions 214 12.2 Cross-sectional regressions 219 12.3 Fama-MacBeth Procedure 228 12.4 Problems 234 13 GMM for linear factor models in discount factor form 235 13.1 GMM on the pricing errors gives a cross-sectional regression 235 13.2 The case ofexcess returns 237 13.3 Horse Races 239 13.4 Testing for characteristics 240 13.5 Testing for priced factors: lambdas orb's? 241 13.6 Problems 245 14 Maximum likelihood 247 14.1 Maximum likelihood 247 14.2 ML is GMM on the scores 249 14.3 When factors are returns, ML prescribes a time-series regression 251 14.4 When factors are not excess returns, ML prescribes a cross-sectional regression 255 14.5 Problems 256 15 Time series, cross-section, and GMM/DF tests of linear factor models 258 15.1 Three approaches to the CAPM in size portfolios 259 15.2 Monte Carlo and Bootstrap 265 16 Which method? 271 Part III. Bonds and options 284 17 Option pricing 286 17.1 Background 286 17.2 Black-Scholes formula 293 17.3 Problems 299 18 Option pricing without perfect replication 300 18.1 On the edges of arbitrage 300 18.2 One-period good deal bounds 301 18.3 Multiple periods and continuous time 309 18.4 Extensions, other approaches, and bibliography 317 18.5 Problems 319 19 Term structure of interest rates 320 19.1 Definitions and notation 320 19.2 Yield curve and expectations hypothesis 325 19.3 Term structure models - a discrete-time introduction 327 19.4 Continuous time term structure models 332 19.5 Three linear term structure models 337 19.6 Bibliography and comments 348 19.7 Problems 351 Part IV. Empirical survey 352 20 Expected returns in the time-series and cross-section 354 20.1 Time-series predictability 356 20.2 The Cross-section: CAPM and Multifactor Models 396 20.3 Summary and interpretation 409 20.4 Problems 413 21 Equity premium puzzle and consumption-based models 414 21.1 Equity premium puzzles 414 21.2 New models 423 21.3 Bibliography 437 21.4 Problems 440 22 References 442 Part V. Appendix 455 23 Continuous time 456 23.1 Brownian Motion 456 23.2 Diffusion model 457 23.3 Ito's lemma 460 23.4 Problems 462 |
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Asset pricing (2001)