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E-raamat: Financial Decisions and Markets: A Course in Asset Pricing

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  • Formaat: 480 pages
  • Ilmumisaeg: 31-Oct-2017
  • Kirjastus: Princeton University Press
  • Keel: eng
  • ISBN-13: 9781400888221
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Financial Decisions and Markets: A Course in Asset PricingSuurem pilt
  • Formaat: 480 pages
  • Ilmumisaeg: 31-Oct-2017
  • Kirjastus: Princeton University Press
  • Keel: eng
  • ISBN-13: 9781400888221
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From the field's leading authority, the most authoritative and comprehensive advanced-level textbook on asset pricing

In Financial Decisions and Markets, John Campbell, one of the fields most respected authorities, provides a broad graduate-level overview of asset pricing. He introduces students to leading theories of portfolio choice, their implications for asset prices, and empirical patterns of risk and return in financial markets. Campbell emphasizes the interplay of theory and evidence, as theorists respond to empirical puzzles by developing models with new testable implications. The book shows how models make predictions not only about asset prices but also about investors financial positions, and how they often draw on insights from behavioral economics.


After a careful introduction to single-period models, Campbell develops multiperiod models with time-varying discount rates, reviews the leading approaches to consumption-based asset pricing, and integrates the study of equities and fixed-income securities. He discusses models with heterogeneous agents who use financial markets to share their risks, but also may speculate against one another on the basis of different beliefs or private information. Campbell takes a broad view of the field, linking asset pricing to related areas, including financial econometrics, household finance, and macroeconomics. The textbook works in discrete time throughout, and does not require stochastic calculus. Problems are provided at the end of each chapter to challenge students to develop their understanding of the main issues in financial economics.


The most comprehensive and balanced textbook on asset pricing available, Financial Decisions and Markets is an essential resource for all graduate students and practitioners in finance and related fields.



  • Integrated treatment of asset pricing theory and empirical evidence

  • Emphasis on investors decisions

  • Broad view linking the field to financial econometrics, household finance, and macroeconomics

  • Topics treated in discrete time, with no requirement for stochastic calculus

  • Solutions manual for problems available to professors

Arvustused

"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 "John Campbell has given us the definitive course text on financial decision making and asset pricing. Every student and researcher in the field will want this masterful integration of decades of study on actual investor behavior and market equilibrium."Darrell Duffie, Stanford University "John Campbell has long been a top researcher in the vibrant intersection of asset pricing and macroeconomics. This book provides an interesting and in-depth exposition of his take on the current state of this important area."Eugene Fama, University of Chicago Booth School of Business "Written by a major contributor to the economics of financial markets, Financial Decisions and Markets is a comprehensive, insightful, and authoritative graduate-level introduction to asset pricing. This book stresses the interplay between theory, econometrics, and empirics, the hallmark of John Campbell's research. The critical analysis and problem sets stimulate readers to confront open questions at the research frontier. I plan to adopt this book in my PhD-level course."George M. Constantinides, University of Chicago Booth School of Business

Figures xiii
Tables xv
Preface xvii
Part I Static Portfolio Choice and Asset Pricing
1 Choice under Uncertainty
3(20)
1.1 Expected Utility
3(2)
1.1.1 Sketch of von Neumann-Morgenstern Theory
4(1)
1.2 Risk Aversion
5(5)
1.2.1 Jensen's Inequality and Risk Aversion
5(2)
1.2.2 Comparing Risk Aversion
7(2)
1.2.3 The Arrow-Pratt Approximation
9(1)
1.3 Tractable Utility Functions
10(2)
1.4 Critiques of Expected Utility Theory
12(3)
1.4.1 Allais Paradox
12(1)
1.4.2 Rabin Critique
13(1)
1.4.3 First-Order Risk Aversion and Prospect Theory
14(1)
1.5 Comparing Risks
15(5)
1.5.1 Comparing Risks with the Same Mean
16(2)
1.5.2 Comparing Risks with Different Means
18(1)
1.5.3 The Principle of Diversification
19(1)
1.6 Solution and Further Problems
20(3)
2 Static Portfolio Choice
23(24)
2.1 Choosing Risk Exposure
23(7)
2.1.1 The Principle of Participation
23(1)
2.1.2 A Small Reward for Risk
24(1)
2.1.3 The CARA-Normal Case
25(2)
2.1.4 The CRRA-Lognormal Case
27(3)
2.1.5 The Growth-Optimal Portfolio
30(1)
2.2 Combining Risky Assets
30(13)
2.2.1 Two Risky Assets
31(2)
2.2.2 One Risky and One Safe Asset
33(1)
2.2.3 N Risky Assets
34(1)
2.2.4 The Global Minimum-Variance Portfolio
35(4)
2.2.5 The Mutual Fund Theorem
39(1)
2.2.6 One Riskless Asset and N Risky Assets
39(3)
2.2.7 Practical Difficulties
42(1)
2.3 Solutions and Further Problems
43(4)
3 Static Equilibrium Asset Pricing
47(36)
3.1 The Capital Asset Pricing Model (CAPM)
47(8)
3.1.1 Asset Pricing Implications of the Sharpe-Lintner CAPM
48(2)
3.1.2 The Black CAPM
50(1)
3.1.3 Beta Pricing and Portfolio Choice
51(3)
3.1.4 The Black-Litterman Model
54(1)
3.2 Arbitrage Pricing and Multifactor Models
55(6)
3.2.1 Arbitrage Pricing in a Single-Factor Model
55(4)
3.2.2 Multifactor Models
59(1)
3.2.3 The Conditional CAPM as a Multifactor Model
60(1)
3.3 Empirical Evidence
61(16)
3.3.1 Test Methodology
61(5)
3.3.2 The CAPM and the Cross-Section of Stock Returns
66(6)
3.3.3 Alternative Responses to the Evidence
72(5)
3.4 Solution and Further Problems
77(6)
4 The Stochastic Discount Factor
83(38)
4.1 Complete Markets
83(7)
4.1.1 The SDF in a Complete Market
83(1)
4.1.2 The Riskless Asset and Risk-Neutral Probabilities
84(1)
4.1.3 Utility Maximization and the SDF
85(1)
4.1.4 The Growth-Optimal Portfolio and the SDF
85(1)
4.1.5 Solving Portfolio Choice Problems
86(1)
4.1.6 Perfect Risksharing
87(1)
4.1.7 Existence of a Representative Agent
88(1)
4.1.8 Heterogeneous Beliefs
89(1)
4.2 Incomplete Markets
90(3)
4.2.1 Constructing an SDF in the Payoff Space
90(2)
4.2.2 Existence of a Positive SDF
92(1)
4.3 Properties of the SDF
93(10)
4.3.1 Risk Premia and the SDF
93(2)
4.3.2 Volatility Bounds
95(5)
4.3.3 Entropy Bound
100(2)
4.3.4 Factor Structure
102(1)
4.3.5 Time-Series Properties
102(1)
4.4 Generalized Method of Moments
103(9)
4.4.1 Asymptotic Theory
104(1)
4.4.2 Important GMM Estimators
105(2)
4.4.3 Traditional Tests in the GMM Framework
107(2)
4.4.4 GMM in Practice
109(3)
4.5 Limits of Arbitrage
112(2)
4.6 Solutions and Further Problems
114(7)
Part II Intertemporal Portfolio Choice and Asset Pricing
5 Present Value Relations
121(40)
5.1 Market Efficiency
121(6)
5.1.1 Tests of Autocorrelation in Stock Returns
124(1)
5.1.2 Empirical Evidence on Autocorrelation in Stock Returns
125(2)
5.2 Present Value Models with Constant Discount Rates
127(7)
5.2.1 Dividend-Based Models
127(4)
5.2.2 Earnings-Based Models
131(1)
5.2.3 Rational Bubbles
132(2)
5.3 Present Value Models with Time-Varying Discount Rates
134(10)
5.3.1 The Campbell-Shiller Approximation
134(3)
5.3.2 Short- and Long-Term Return Predictability
137(3)
5.3.3 Interpreting US Stock Market History
140(3)
5.3.4 VAR Analysis of Returns
143(1)
5.4 Predictive Return Regressions
144(6)
5.4.1 Stambaugh Bias
145(1)
5.4.2 Recent Responses Using Financial Theory
146(2)
5.4.3 Other Predictors
148(2)
5.5 Drifting Steady-State Models
150(3)
5.5.1 Volatility and Valuation
150(1)
5.5.2 Drifting Steady-State Valuation Model
151(2)
5.5.3 Inflation and the Fed Model
153(1)
5.6 Present Value Logic and the Cross-Section of Stock Returns
153(3)
5.6.1 .Quality as a Risk Factor
154(1)
5.6.2 Cross-Sectional Measures of the Equity Premium
154(2)
5.7 Solution and Further Problems
156(5)
6 Consumption-Based Asset Pricing
161(46)
6.1 Lognormal Consumption with Power Utility
162(1)
6.2 Three Puzzles
163(5)
6.2.1 Responses to the Puzzles
166(2)
6.3 Beyond Lognormality
168(8)
6.3.1 Time-Varying Disaster Risk
173(3)
6.4 Epstein-Zin Preferences
176(6)
6.4.1 Deriving the SDF for Epstein-Zin Preferences
178(4)
6.5 Long-Run Risk Models
182(5)
6.5.1 Predictable Consumption Growth
182(2)
6.5.2 Heteroskedastic Consumption
184(2)
6.5.3 Empirical Specification
186(1)
6.6 Ambiguity Aversion
187(4)
6.7 Habit Formation
191(8)
6.7.1 A Ratio Model of Habit
192(1)
6.7.2 The Campbell-Cochrane Model
193(5)
6.7.3 Alternative Models of Time-Varying Risk Aversion
198(1)
6.8 Durable Goods
199(2)
6.9 Solutions and Further Problems
201(6)
7 Production-Based Asset Pricing
207(22)
7.1 Physical Investment with Adjustment Costs
207(8)
7.1.1 A q-Theory Model of Investment
208(4)
7.1.2 Investment Returns
212(2)
7.1.3 Explaining Firms' Betas
214(1)
7.2 General Equilibrium with Production
215(7)
7.2.1 Long-Run Consumption Risk in General Equilibrium
215(5)
7.2.2 Variable Labor Supply
220(2)
7.2.3 Habit Formation in General Equilibrium
222(1)
7.3 Marginal Rate of Transformation and the SDF
222(4)
7.4 Solution and Further Problem
226(3)
8 Fixed-Income Securities
229(40)
8.1 Basic Concepts
230(7)
8.1.1 Yields and Holding-Period Returns
230(4)
8.1.2 Forward Rates
234(2)
8.1.3 Coupon Bonds
236(1)
8.2 The Expectations Hypothesis of the Term Structure
237(4)
8.2.1 Restrictions on Interest Rate Dynamics
238(1)
8.2.2 Empirical Evidence
239(2)
8.3 Affine Term Structure Models
241(9)
8.3.1 Completely Affine Homoskedastic Single-Factor Model
242(3)
8.3.2 Completely Affine Heteroskedastic Single-Factor Model
245(1)
8.3.3 Essentially Affine Models
246(3)
8.3.4 Strong Restrictions and Hidden Factors
249(1)
8.4 Bond Pricing and the Dynamics of Consumption Growth and Inflation
250(7)
8.4.1 Real Bonds and Consumption Dynamics
250(2)
8.4.2 Permanent and Transitory Shocks to Marginal Utility
252(2)
8.4.3 Real Bonds, Nominal Bonds, and Inflation
254(3)
8.5 Interest Rates and Exchange Rates
257(7)
8.5.1 Interest Parity and the Carry Trade
258(2)
8.5.2 The Domestic and Foreign SDF
260(4)
8.6 Solution and Further Problems
264(5)
9 Intertemporal Risk
269(38)
9.1 Myopic Portfolio Choice
270(2)
9.2 Intertemporal Hedging
272(11)
9.2.1 A Simple Example
272(1)
9.2.2 Hedging Interest Rates
273(4)
9.2.3 Hedging Risk Premia
277(6)
9.2.4 Alternative Approaches
283(1)
9.3 The Intertemporal CAPM
283(7)
9.3.1 A Two-Beta Model
283(4)
9.3.2 Hedging Volatility: A Three-Beta Model
287(3)
9.4 The Term Structure of Risky Assets
290(5)
9.4.1 Stylized Facts
290(1)
9.4.2 Asset Pricing Theory and the Risky Term Structure
291(4)
9.5 Learning
295(4)
9.6 Solutions and Further Problems
299(8)
Part III Heterogeneous Investors
10 Household Finance
307(34)
10.1 Labor Income and Portfolio Choice
308(10)
10.1.1 Static Portfolio Choice Models
308(4)
10.1.2 Multiperiod Portfolio Choice Models
312(4)
10.1.3 Labor Income and Asset Pricing
316(2)
10.2 Limited Participation
318(5)
10.2.1 Wealth, Participation, and Risktaking
318(4)
10.2.2 Asset Pricing Implications of Limited Participation
322(1)
10.3 Underdiversification
323(8)
10.3.1 Empirical Evidence
324(3)
10.3.2 Effects on the Wealth Distribution
327(2)
10.3.3 Asset Pricing Implications of Underdiversification
329(2)
10.4 Responses to Changing Market Conditions
331(3)
10.5 Policy Responses
334(1)
10.6 Solutions and Further Problems
335(6)
11 Risksharing and Speculation
341(30)
11.1 Incomplete Markets
342(5)
11.1.1 Asset Pricing with Uninsurable Income Risk
342(3)
11.1.2 Market Design with Incomplete Markets
345(1)
11.1.3 General Equilibrium with Imperfect Risksharing
346(1)
11.2 Private Information
347(2)
11.3 Default
349(5)
11.3.1 Punishment by Exclusion
349(4)
11.3.2 Punishment by Seizure of Collateral
353(1)
11.4 Heterogeneous Beliefs
354(9)
11.4.1 Noise Traders
354(2)
11.4.2 The Harrison-Kreps Model
356(3)
11.4.3 Endogenou Margin Requirements
359(4)
11.5 Solution and Further Problems
363(8)
12 Asymmetric Information and liquidity
371(34)
12.1 Rational Expectations Equilibrium
372(12)
12.1.1 Fully Revealing Equilibrium
372(3)
12.1.2 Partially Revealing Equilibrium
375(3)
12.1.3 News, Trading Volume, and Returns
378(2)
12.1.4 Equilibrium with Costly Information
380(3)
12.1.5 Higher-Order Expectations
383(1)
12.2 Market Microstructure
384(8)
12.2.1 Information and the Bid-Ask Spread
385(4)
12.2.2 Information and Market Impact
389(3)
12.2.3 Diminishing Returns in Active Asset Management
392(1)
12.3 Liquidity and Asset Pricing
392(8)
12.3.1 Constant Trading Costs and Asset Prices
393(2)
12.3.2 Random Trading Costs and Asset Prices
395(1)
12.3.3 Margins and Asset Prices
396(1)
12.3.4 Margins and Trading Costs
397(3)
12.4 Solution and Further Problems
400(5)
References 405(30)
Index 435
John Y. Campbell is the Morton L. and Carole S. Olshan Professor of Economics at Harvard University. His books include The Econometrics of Financial Markets (Princeton) and Strategic Asset Allocation: Portfolio Choice for Long-Term Investors.
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