Asset Pricing John H. Cochrane June 12, 2000

More documents

Recommendations

Info

13.4 Testing for characteristics 240 13.5 Testing for priced factors: lambdas or b’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 6
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 7
Page 1 and 2: Asset Pricing John H. Cochrane June
Page 3 and 4: Contents Acknowledgments 2 Preface
Page 5: 9.2 Intertemporal Capital Asset Pri
Page 9 and 10: Asset pricing problems are solved b
Page 11 and 12: try to focus on the basic ideas and
Page 13 and 14: Chapter 1. Consumption-based model
Page 15 and 16: SECTION 1.1 BASIC PRICING EQUATION
Page 17 and 18: discount factors, SECTION 1.3 PRICE
Page 19 and 20: SECTION 1.4 CLASSIC ISSUES IN FINAN
Page 23 and 24: equation (1.2) as SECTION 1.4 CLASS
Page 25 and 26: ate! In equations, if then SECTION
Page 33 and 34: SECTION 1.5 DISCOUNT FACTORS IN CON
Page 39 and 40: SECTION 1.6 PROBLEMS function with
Page 41 and 42: Chapter 2. Applying the basic model
Page 43 and 44: SECTION 2.2 GENERAL EQUILIBRIUM mig
Page 45 and 46: C t+1 SECTION 2.2 GENERAL EQUILIBRI
Page 47 and 48: SECTION 2.3 CONSUMPTION-BASED MODEL
Page 49 and 50: SECTION 2.4 ALTERNATIVE ASSET PRICI
Page 51 and 52: SECTION 2.5 PROBLEMS Since the opti
Page 53 and 54: that function. From SECTION 2.5 PRO
Page 55 and 56: SECTION 3.2 RISK NEUTRAL PROBABILIT
Page 57 and 58:
The discount factor prices the asse
Page 59 and 60:
SECTION 3.4 RISK SHARING Asset pric
Page 61 and 62:
State 2 Payoff SECTION 3.5 STATE DI
Page 63 and 64:
SECTION 3.5 STATE DIAGRAM AND PRICE
Page 65 and 66:
SECTION 4.1 LAW OF ONE PRICE AND EX
Page 67 and 68:
SECTION 4.1 LAW OF ONE PRICE AND EX
Page 69 and 70:
SECTION 4.2 NO-ARBITRAGE AND POSITI
Page 71 and 72:
Page 73 and 74:
Page 75 and 76:
so SECTION 4.3 AN ALTERNATIVE FORMU
Page 77 and 78:
Chapter 5. Mean-variance frontier a
Page 79 and 80:
SECTION 5.1 EXPECTED RETURN -BETA R
Page 81 and 82:
SECTION 5.2 MEAN-VARIANCE FRONTIER:
Page 83 and 84:
SECTION 5.3 AN ORTHOGONAL CHARACTER
Page 85 and 86:
SECTION 5.3 AN ORTHOGONAL CHARACTER
Page 87 and 88:
SECTION 5.4 SPANNING THE MEAN-VARIA
Page 89 and 90:
SECTION 5.5 A COMPILATION OF PROPER
Page 91 and 92:
SECTION 5.5 A COMPILATION OF PROPER
Page 93 and 94:
SECTION 5.6 MEAN-VARIANCE FRONTIERS
Page 95 and 96:
SECTION 5.6 MEAN-VARIANCE FRONTIERS
Page 97 and 98:
SECTION 5.7 PROBLEMS Hansen-Jaganna
Page 99 and 100:
SECTION 6.1 FROM DISCOUNT FACTORS T
show all

Asset Pricing John H. Cochrane June 12, 2000

Create successful ePaper yourself

Delete template?

Save as template?