Financial Decisions and Markets: A Course in Asset Pricing

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· 제목 : Financial Decisions and Markets: A Course in Asset Pricing (Hardcover)
· 분류 : 외국도서 > 경제경영 > 금융/재정 > 일반
· ISBN : 9780691160801
· 쪽수 : 480쪽
· 출판일 : 2017-10-31

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

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하버드 대학교 석좌교수로, 1994년부터 하버드 경제학과에서 강의해왔다. 채권, 주식 가치평가, 포트폴리오 선택, 가계 금융 등 금융과 거시경제학의 다양한 분야에 걸쳐 100편이 넘는 논문을 발표했다. 전미금융학회American Finance Association 회장을 지냈으며, 전미경제연구소NBER 자산가격 프로그램의 연구위원이자 프로그램 디렉터를 역임했다. 보스턴에 기반을 둔 계량적 자산운용사 애로우스트리트 캐피털Arrowstreet Capital을 공동 창업했으며, 현재 이사회 멤버로 활동하고 있다.

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