Asset Pricing: Revised Edition John H. Cochrane is an English-language textbook on modern asset pricing theory. This reference work is suitable for students in higher education and professionals in finance and economics.
This revised edition introduces a coherent framework around the concept of the stochastic discount factor as a basis for valuing securities. Cochrane covers applications to stocks, bonds, and options, and explores theories such as CAPM, multifactor and consumption-based models. The book combines theoretical foundations with empirical methods, including the Generalized Method of Moments, for an in-depth analysis of price formation in financial markets.
With a clear explanation of the discount factor-approach and the associated geometry of mean-variance frontiers, this edition offers an up-to-date and integrated view of asset pricing. The content focuses on topics within Investment and securities and BUSINESS & ECONOMICS / Investments & Securities / General.