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Produktbild: Financial Decisions and Markets

Financial Decisions and Markets A Course in Asset Pricing

Fr. 134.00

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Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

31.10.2017

Abbildungen

46 line ill.

Verlag

Princeton University Press

Seitenzahl

480

Maße (L/B/H)

26.3/18.7/3.7 cm

Gewicht

1037 g

Sprache

Englisch

ISBN

978-0-691-16080-1

Beschreibung

Rezension

"John Campbell is one of the leading researchers and teachers in asset pricing. This remarkably clear and well-organized book is strong testimony to his expertise. I will use it often in my own research."--Kenneth R. French, Dartmouth College

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

31.10.2017

Abbildungen

46 line ill.

Verlag

Princeton University Press

Seitenzahl

480

Maße (L/B/H)

26.3/18.7/3.7 cm

Gewicht

1037 g

Sprache

Englisch

ISBN

978-0-691-16080-1

Herstelleradresse

Libri GmbH
Europaallee 1
36244 Bad Hersfeld
DE

Email: GPSR Kontakt

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  • Produktbild: Financial Decisions and Markets


    • Figures

    • Tables

    • Preface

    • Part I Static Portfolio Choice and Asset Pricing

      • 1 Choice under Uncertainty

        • 1.1 Expected Utility

          • 1.1.1 Sketch of von Neumann-Morgenstern Theory


        • 1.2 Risk Aversion

          • 1.2.1 Jensen's Inequality and Risk Aversion

          • 1.2.2 Comparing Risk Aversion

          • 1.2.3 The Arrow-Pratt Approximation


        • 1.3 Tractable Utility Functions

        • 1.4 Critiques of Expected Utility Theory

          • 1.4.1 Allais Paradox

          • 1.4.2 Rabin Critique

          • 1.4.3 First-Order Risk Aversion and Prospect Theory


        • 1.5 Comparing Risks

          • 1.5.1 Comparing Risks with the Same Mean

          • 1.5.2 Comparing Risks with Different Means

          • 1.5.3 The Principle of Diversification


        • 1.6 Solution and Further Problems

        • 2 Static Portfolio Choice

          • 2.1 Choosing Risk Exposure

            • 2.1.1 The Principle of Participation

            • 2.1.2 A Small Reward for Risk

            • 2.1.3 The CARA-Normal Case

            • 2.1.4 The CRRA-Lognormal Case

            • 2.1.5 The Growth-Optimal Portfolio


          • 2.2 Combining Risky Assets

            • 2.2.1 Two Risky Assets

            • 2.2.2 One Risky and One Safe Asset

            • 2.2.3 N Risky Assets

            • 2.2.4 The Global Minimum-Variance Portfolio

            • 2.2.5 The Mutual Fund Theorem

            • 2.2.6 One Riskless Asset and N Risky Assets

            • 2.2.7 Practical Difficulties


          • 2.3 Solutions and Further Problems

          • 3 Static Equilibrium Asset Pricing

            • 3.1 The Capital Asset Pricing Model (CAPM)

              • 3.1.1 Asset Pricing Implications of the Sharpe-Lintner CAPM

              • 3.1.2 The Black CAPM

              • 3.1.3 Beta Pricing and Portfolio Choice

              • 3.1.4 The Black-Litterman Model


            • 3.2 Arbitrage Pricing and Multifactor Models

              • 3.2.1 Arbitrage Pricing in a Single-Factor Model

              • 3.2.2 Multifactor Models

              • 3.2.3 The Conditional CAPM as a Multifactor Model


            • 3.3 Empirical Evidence

              • 3.3.1 Test Methodology

              • 3.3.2 The CAPM and the Cross-Section of Stock Returns

              • 3.3.3 Alternative Responses to the Evidence


            • 3.4 Solution and Further Problems

            • 4 The Stochastic Discount Factor

              • 4.1 Complete Markets

                • 4.1.1 The SDF in a Complete Market

                • 4.1.2 The Riskless Asset and Risk-Neutral Probabilities

                • 4.1.3 Utility Maximization and the SDF

                • 4.1.4 The Growth-Optimal Portfolio and the SDF

                • 4.1.5 Solving Portfolio Choice Problems

                • 4.1.6 Perfect Risksharing

                • 4.1.7 Existence of a Representative Agent

                • 4.1.8 Heterogeneous Beliefs


              • 4.2 Incomplete Markets

                • 4.2.1 Constructing an SDF in the Payoff Space

                • 4.2.2 Existence of a Positive SDF


              • 4.3 Properties of the SDF

                • 4.3.1 Risk Premia and the SDF

                • 4.3.2 Volatility Bounds

                • 4.3.3 Entropy Bound

                • 4.3.4 Factor Structure

                • 4.3.5 Time-Series Properties


              • 4.4 Generalized Method of Moments

                • 4.4.1 Asymptotic Theory

                • 4.4.2 Important GMM Estimators

                • 4.4.3 Traditional Tests in the GMM Framework

                • 4.4.4 GMM in Practice


              • 4.5 Limits of Arbitrage

              • 4.6 Solutions and Further Problems

              • Part II Intertemporal Portfolio Choice and Asset Pricing

                • 5 Present Value Relations

                  • 5.1 Market Efficiency

                    • 5.1.1 Tests of Autocorrelation in Stock Returns

                    • 5.1.2 Empirical Evidence on Autocorrelation in Stock Returns


                  • 5.2 Present Value Models with Constant Discount Rates

                    • 5.2.1 Dividend-Based Models

                    • 5.2.2 Earnings-Based Models

                    • 5.2.3 Rational Bubbles


                  • 5.3 Present Value Models with Time-Varying Discount Rates

                    • 5.3.1 The Campbell-Shiller Approximation

                    • 5.3.2 Short- and Long-Term Return Predictability

                    • 5.3.3 Interpreting US Stock Market History

                    • 5.3.4 VAR Analysis of Returns


                  • 5.4 Predictive Return Regressions

                    • 5.4.1 Stambaugh Bias

                    • 5.4.2 Recent Responses Using Financial Theory

                    • 5.4.3 Other Predictors


                  • 5.5 Drifting Steady-State Models

                    • 5.5.1 Volatility and Valuation

                    • 5.5.2 Drifting Steady-State Valuation Model

                    • 5.5.3 Inflation and the Fed Model


                  • 5.6 Present Value Logic and the Cross-Section of Stock Returns

                    • 5.6.1 Quality as a Risk Factor

                    • 5.6.2 Cross-Sectional Measures of the Equity Premium


                  • 5.7 Solution and Further Problems

                  • 6 Consumption-Based Asset Pricing

                    • 6.1 Lognormal Consumption with Power Utility

                    • 6.2 Three Puzzles

                      • 6.2.1 Responses to the Puzzles


                    • 6.3 Beyond Lognormality

                      • 6.3.1 Time-Varying Disaster Risk


                    • 6.4 Epstein-Zin Preferences

                      • 6.4.1 Deriving the SDF for Epstein-Zin Preferences


                    • 6.5 Long-Run Risk Models

                      • 6.5.1 Predictable Consumption Growth

                      • 6.5.2 Heteroskedastic Consumption

                      • 6.5.3 Empirical Specification


                    • 6.6 Ambiguity Aversion

                    • 6.7 Habit Formation

                      • 6.7.1 A Ratio Model of Habit

                      • 6.7.2 The Campbell-Cochrane Model

                      • 6.7.3 Alternative Models of Time-Varying Risk Aversion


                    • 6.8 Durable Goods

                    • 6.9 Solutions and Further Problems

                    • 7 Production-Based Asset Pricing

                      • 7.1 Physical Investment with Adjustment Costs

                        • 7.1.1 A q-Theory Model of Investment

                        • 7.1.2 Investment Returns

                        • 7.1.3 Explaining Firms' Betas


                      • 7.2 General Equilibrium with Production

                        • 7.2.1 Long-Run Consumption Risk in General Equilibrium

                        • 7.2.2 Variable Labor Supply

                        • 7.2.3 Habit Formation in General Equilibrium


                      • 7.3 Marginal Rate of Transformation and the SDF

                      • 7.4 Solution and Further Problem

                      • 8 Fixed-Income Securities

                        • 8.1 Basic Concepts

                          • 8.1.1 Yields and Holding-Period Returns

                          • 8.1.2 Forward Rates

                          • 8.1.3 Coupon Bonds


                        • 8.2 The Expectations Hypothesis of the Term Structure

                          • 8.2.1 Restrictions on Interest Rate Dynamics

                          • 8.2.2 Empirical Evidence


                        • 8.3 Affine Term Structure Models

                          • 8.3.1 Completely Affine Homoskedastic Single-Factor Model

                          • 8.3.2 Completely Affine Heteroskedastic Single-Factor Model

                          • 8.3.3 Essentially Affine Models

                          • 8.3.4 Strong Restrictions and Hidden Factors


                        • 8.4 Bond Pricing and the Dynamics of Consumption Growth and Inflation

                          • 8.4.1 Real Bonds and Consumption Dynamics

                          • 8.4.2 Permanent and Transitory Shocks to Marginal Utility

                          • 8.4.3 Real Bonds, Nominal Bonds, and Inflation


                        • 8.5 Interest Rates and Exchange Rates

                          • 8.5.1 Interest Parity and the Carry Trade

                          • 8.5.2 The Domestic and Foreign SDF


                        • 8.6 Solution and Further Problems

                        • 9 Intertemporal Risk

                          • 9.1 Myopic Portfolio Choice

                          • 9.2 Intertemporal Hedging

                            • 9.2.1 A Simple Example

                            • 9.2.2 Hedging Interest Rates

                            • 9.2.3 Hedging Risk Premia

                            • 9.2.4 Alternative Approaches


                          • 9.3 The Intertemporal CAPM

                            • 9.3.1 A Two-Beta Model

                            • 9.3.2 Hedging Volatility: A Three-Beta Model


                          • 9.4 The Term Structure of Risky Assets

                            • 9.4.1 Stylized Facts

                            • 9.4.2 Asset Pricing Theory and the Risky Term Structure


                          • 9.5 Learning

                          • 9.6 Solutions and Further Problems

                          • Part III Heterogeneous Investors

                            • 10 Household Finance

                              • 10.1 Labor Income and Portfolio Choice

                                • 10.1.1 Static Portfolio Choice Models

                                • 10.1.2 Multiperiod Portfolio Choice Models

                                • 10.1.3 Labor Income and Asset Pricing


                              • 10.2 Limited Participation

                                • 10.2.1 Wealth, Participation, and Risktaking

                                • 10.2.2 Asset Pricing Implications of Limited Participation


                              • 10.3 Underdiversification

                                • 10.3.1 Empirical Evidence

                                • 10.3.2 Effects on the Wealth Distribution

                                • 10.3.3 Asset Pricing Implications of Underdiversification


                              • 10.4 Responses to Changing Market Conditions

                              • 10.5 Policy Responses

                              • 10.6 Solutions and Further Problems

                              • 11 Risksharing and Speculation

                                • 11.1 Incomplete Markets

                                  • 11.1.1 Asset Pricing with Uninsurable Income Risk

                                  • 11.1.2 Market Design with Incomplete Markets

                                  • 11.1.3 General Equilibrium with Imperfect Risksharing


                                • 11.2 Private Information

                                • 11.3 Default

                                  • 11.3.1 Punishment by Exclusion

                                  • 11.3.2 Punishment by Seizure of Collateral


                                • 11.4 Heterogeneous Beliefs

                                  • 11.4.1 Noise Traders

                                  • 11.4.2 The Harrison-Kreps Model

                                  • 11.4.3 Endogenou Margin Requirements


                                • 11.5 Solution and Further Problems

                                • 12 Asymmetric Information and Liquidity

                                  • 12.1 Rational Expectations Equilibrium

                                    • 12.1.1 Fully Revealing Equilibrium

                                    • 12.1.2 Partially Revealing Equilibrium

                                    • 12.1.3 News, Trading Volume, and Returns

                                    • 12.1.4 Equilibrium with Costly Information

                                    • 12.1.5 Higher-Order Expectations


                                  • 12.2 Market Microstructure

                                    • 12.2.1 Information and the Bid-Ask Spread

                                    • 12.2.2 Information and Market Impact

                                    • 12.2.3 Diminishing Returns in Active Asset Management


                                  • 12.3 Liquidity and Asset Pricing

                                    • 12.3.1 Constant Trading Costs and Asset Prices

                                    • 12.3.2 Random Trading Costs and Asset Prices

                                    • 12.3.3 Margins and Asset Prices

                                    • 12.3.4 Margins and Trading Costs


                                  • 12.4 Solution and Further Problems

                                  • References

                                  • Index