The book has room for improvement, and i believe back is working on a 2nd edition. This book was already a classic among finance scholars and on ph. It is the most uptodate text on the canonical asset pricing theory. Cochrane traces the pricing of all assets back to a single ideaprice equals expected discounted. Cochrane is the author of asset pricing, a widely used textbook in graduate courses on asset pricing. Still the book stresses economic intuition over formal proofs. Download for offline reading, highlight, bookmark or take notes while you read asset pricing. It should be open and free to anyone, including all the quizzes, problem sets and exams. But, currently, there is no other text better than back.
A low price implies a high rate of return, so one can also think of the theory as explaining why some assets pay higher average returns than others. I will hand out a free hardcopy of the manuscript to all students registered in the course. Cochrane is a distinguished senior fellow at the university of chicago booth school of business. I do research in asset pricing and monetary economics. Everyday low prices and free delivery on eligible orders. It died in a coursera upgrade, but it is now migrated over to canvas. In revising asset pricing and the online versions, i have moved entirely to continuous time rather than lognormal approximations. Cochrane, asset pricing, princeton university press. According to his own words, the organizing principle of the book is that everything can be traced back to specializations of a single equation.
Asset pricing theory tries to understand the prices or values of claims to uncertain payments. My asset pricing webpage has links to the class, book, and many other useful materials. Professor cochrane delivered his phd class asset pricing as a mooc. Duffies dynamic asset pricing theory is not the best book to start.
My asset pricing webpage has links to the class, book, and many other. Asset pricing wikibooks, open books for an open world. Cochranes focus is the classical asset pricing models of frictionless markets and rational expectations. For debt, asset pricing is relatively simple, as cash flows to the owner are contractually fixed. You can find my full professional bio here, and a detailed cv here. There are two polar approaches to this elaboration. John h cochrane the university of chicago booth school. Samuelson award for scholarly writing on lifelong financial security, john cochranes asset pricing now. Author and a great selection of related books, art and collectibles available now at. 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. His recent finance publications include the book asset pricing, and articles on dynamics in stock and bond markets, the volatility of exchange rates, the term structure of interest rates, the returns to venture capital, liquidity premiums in stock prices, the relation between stock prices. It also a great treatment of empirical asset pricing. To value an asset, we have to account for the delay and for the risk of its payments. Cochrane traces the pricing of all assets back to a single ideaprice equals expected discounted payoffthat captures the macroeconomic risks underlying each.
Cochrane traces the pricing of all assets back to a single idea price equals expected discounted payoff that captures the macroeconomic risks underlying each securitys value. For econometricians, the stochastic discount approach is increasingly important, and. Its much simpler that way, and continuous time is a standard part of a finance phds toolkit. Throughout the book, cochrane is in full command of. Cochrane traces the pricing of all assets back to a single ideaprice equals expected discounted payoffthat captures the macroeconomic risks underlying each securitys value. My first book on asset pricing was duffies dynamic asset pricing theory 2nd ed, and it has perhaps forever biased my judgment. Cochranes clever intuition and easy, informal writing style make the book a joy to read. Cochranes asset pricing is an extremely readable book, targeting economics and finance ph. Samuelson award for scholarly writing on lifelong financial security, john cochranes 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. The rest is elaboration, special cases, and a closet full of tricks that make the central equation useful for one or another application. Cochrane traces the pricing of all assets back to a single ideaprice equals expected discounted payoffthat captures the.
Asset pricing theory all stems from one simple concept, derived in the. He felt that such cut and dry material would be easier to get started with, particularly when he also had a book of the same name, rather than a more discussionbased empirical class. Asset pricing cochrane is the author of asset pricing, 9 a widely used textbook in graduate courses on asset pricing. Most of the ideas in the book developed from long discussions with. The systematic determination of stock valuesasset pricinghas developed dramatically in the last few years due to advances in financial theory.
Cochranes book is great because it covers nearly every topic with the pemx stochastic discount factor methodology. This otherwise comprehensive book doesnt have any option pricing in it, though blackscholes is a cornerstone of finance. Cochrane begins powerfully, introducing us to the notion that the consumptionbased asset pricing. The book will be taught using an unpublished manuscript, financial decisions and markets. This is the source of the graph and tables for the production section. Asset pricing is extremely readable, as cochrane stresses economic intuition over formal proofs.
You can find lecture notes, class notes, readings, and problem sets at the. Buy asset pricing revised edition book online at low. Cochrane traces the pricing of all assets back to a single ideaprice equals expected discounted cochrane traces the pricing of all assets back to a single ideaprice equals expected discounted payoffthat captures the macroeconomic risks underlying each securitys 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. This is a sparkling, intuitive, makesitlookeasierthanit reallyis, gem of a book. This book advocates a discount factor generalized method of moments view of asset pricing theory and associated empirical procedures.
I became a fan of john cochrane because of this book. Cochrane traces the pricing of all assets back to a single idea. This book owes an enormous intellectual debt to lars hansen and gene fama. The rest is elaboration, special cases, and a closet full of tricks that make the central equation useful for one or. Im a professor of finance at the university of chicago booth school of business.
This page is devoted to the book asset pricing, and the corresponding online class. Corhranes clever intuition and easy, informal writing style make the book a joy to read. Here cochrane unifies and brings this science up to date for the benefit of advanced students and professionals. Asset pricing john cochrane, part 1 aissan dalvandi.