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Title: Asset Pricing by John H. Cochrane ISBN: 0-691-07498-4 Publisher: Princeton Univ Pr Pub. Date: 01 January, 2001 Format: Hardcover Volumes: 1 List Price(USD): $75.00 |
Average Customer Rating: 2.71 (14 reviews)
Rating: 3
Summary: Modern finance in a book finally
Comment: This book presents finance in the modern way: p=E(mx). After having read it, the reader should be able to understand the papers currently published in the field. That's the big advantage of the book, because, in this sense, it is better than Duffie's, Dothan's or Ingersoll's. Be advised that the book is not worried about technicallities or math, but the economics underlying the models in it.
However some deep discussions assumes the reader knows: mean-variance frontier, (C)CAPM, APT, and so on, including the several empirical tests already performed on these models and their results. This is not always true, and the reader can easily get lost.
The author uses graphs to clarify the ideas. It is not always successful. Many graphs are confusing. For instance, the author assumes the reader knows how to add and to subtract vectors graphically, which is really easy if you knew that in advance, but difficult to figure out if you do not.
Also there are several minor mistakes the reader should take care of. I am sure the second edition of the book will correct those mistakes and will make the book a lot better.
I think the part talking about the GMM econometrics very clear and that helps a lot to implement the models presented in it.
I recommend the book, mainly because there is no other book treating modern finance like that. Once you get used to it, you'll see the book is not difficult and very useful.
Rating: 5
Summary: A nice intuitive, chatty textbook
Comment: This is a book designed for advanced MBAs (who want to know what current academic research in finance is about) or 1st-Y PhD specializing in Finance.
It covers many theoretical approaches in finance and points out the connections between them, providing a unified framework. This is very helpful as there was prior to this little understanding between old-CAPM types and more recent general equilibrium modelling. Now, if you want to go deeply into pure theory (esp. continuous time) modelling, go to Duffie, and good luck to understand it. There is a brief coverage of options and a very clear presentation of basic bond pricing and term structure.
The book also covers thoroughly empirical testing, especially GMM. The author shows how easy all this is to do, and points out many tricks and traps, providing intuition for how the various methods work. This part is I think quite original and very insightful.
There are also two surveys, on predictability of returns and the infamous equity premium puzzle, which are also very nice.
I love the informal style, with a rather chatty presentation, lots of pictures and intuition, and a short chapter format that makes it easy to read a little part.
The downside: sometimes the chatty style is not so clear and precise. Also, you'll have to go back and forth in the book since it is a lot about connections between the various approaches, which is good (that's the real plus of the book, but at first it can be a bit annoying).
To sum up, that's the book I'd recommand to sbd who has had some economics and some quantitative background and wants to really understand what people are doing.
(I guess the other reviewers prefer the 'theorem-proof' style of Duffie, who doesn't explain where the economics is - I'm quite surprised by their opinions, which seem to me rather rare).
Rating: 5
Summary: Awesome
Comment: I am a bit baffled by the negative reviews of this book. There is a very nice blend of theory and empirics. The writing style is that of an entertaining lecture - a boon for those of us who don't get to listen to John Cochrane every week. I like the connections drawn between asset pricing and macroeconomics (in fact I would have liked to hear more of Cochrane's thoughts here). The emphasis on the unifying stochastic discount factor framework gives the reader a good way to look at what would otherwise appear to be a number of different pricing theories. (This recalls Feynman's lectures on statistical mechanics where he points out that everything is a special case of the canonical distribution). Cochrane's chat about open problems, puzzles, anomolies, and warnings gives the reader helpful hints or ideas to examine. Once again, I am totally baffled by the negative reviews here.
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Title: The Econometrics of Financial Markets by John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay, Andrew Y. Lo, Archie Craig MacKinlay ISBN: 0691043019 Publisher: Princeton Univ Pr Pub. Date: 09 December, 1996 List Price(USD): $85.00 |
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Title: Dynamic Asset Pricing Theory, Third Edition. by Darrell Duffie ISBN: 069109022X Publisher: Princeton Univ Pr Pub. Date: 01 November, 2001 List Price(USD): $80.00 |
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Title: Econometric Analysis by William H. Greene, William H Greene ISBN: 0130661899 Publisher: Prentice Hall Pub. Date: 22 August, 2002 List Price(USD): $130.00 |
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Title: Time Series Analysis by James Douglas Hamilton ISBN: 0691042896 Publisher: Princeton Univ Pr Pub. Date: 11 January, 1994 List Price(USD): $85.00 |
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Title: Theory of Financial Decision Making by Jonathan E., Jr. Ingersoll ISBN: 0847673596 Publisher: Rowman & Littlefield (Non NBN) Pub. Date: 28 June, 1987 List Price(USD): $80.00 |
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