资产定价

  1、教材
  2、最新的勘误表
  3、John Cochrane's website
  4、课件
  5、Reading list
    0)、必读材料
    1)、Predictable returns and volatility in the time series and cross section
    2)、Dynamic portfolio theory
    3)、Liquidity and short sales constraints
    4)、lecture notes for empirical finance
    5)、paper topic for phd students

上课时间:周一下午5、6节经济学院D235

1、教材:1)John Cochrane, Asset Pricing, Princeton Press, 2005.

                2)Claus Munk, Financial Asset Pricing Theory, Oxford University press,2013

2、typos.pdf(最新的勘误表,2005.10)

3、John Cochrane's website

4、syllabus.docx

5、课件:

2018年集中授课课件:

   1)第一章:AP1(S2018).pptx  

   2)第二章:AP2(S2018).pptx  

   3)第三章:AP3(S2018).pptx  
   4) 第四章:AP4(S2018).pptx   
   5)第五章:AP5(S2018).pptx  

   6) 第六章:AP6(S2018).pptx 

   7) 第七章:AP7(S2018).pptx 
   8)第八章:AP8(S2018).pptx 
   9)第九章:AP9(S2018).pptx 

上课前和上课期间推荐大家阅读下面相关课件、论文和链接:



相关课件:

   A.asset pricing kernels.pdf

   B.more on stochastic discount factors.pdf

   C.conditioning information and multifactor model.pdf

   D.Handen and Jagannathan bounds.pdf

 

   本课程2017年课件:
1)第一章:AP1.pptx  AP1.pdf 

      阅读:

      A. continuous_time_review.pdf(相关知识)

      B. time_series_book.pdf(相关知识)

      C.关于效用理论,请看John Compbellutilitytheorynotes091505.pdf

      D.John Compbell关于随机贴现因子的讲义sdfnotes101005.pdf 

     

   2)第二章:AP2.pptx  AP2.pdf

     阅读:

A.classic paper: Lucas, Robert E. Jr, 1978,  “Asset Prices in An Exchange Economy’’ Econometrica 46, 1429-1455.  This is the famous paper that launched the consumption-based model and endowment-economy framework.

B.LucasTree.pdf

C.Asset pricing in specific economies

D.non-expected utility.pdf

E.utility theory.pdf (如果你对效用理论不熟的,可以看看这个)

       

  

   3)Information Ambiguity Explains Asset PricingAnomalies An Expectile CAPM Approach.pptx 胡韡博士论文全文 hw.pdf ) 投稿论文:VCAPM_RFS_13012014_paper.pdf

   4)Discount Rate.ppt (讲座)

     阅读: Discount Rate.pdf (John Cochrane,JOF)

   5)第三章:AP3.pptx   AP3.pdf (2013.10.29更新)

      阅读:

A.Hansen, Lars Peter and Scott F. Richard, 1987, “The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models” Econometrica 55, 587-613. This is the paper that sets out all of the state space stuff, and the conditional vs. unconditional mean variance frontier. It has all the assumptions and the proofs. Very dense, and I mean that as a compliment.

B.state preference theory.pdf

   6) 第四章:AP4.pptx   AP4.pdf

   7)第五章:AP5.pptx   AP5.pdf  (2013.10.29更新)

   8) 第六章:AP6.pptx   AP6.pdf

    阅读: Estimation and Evaluation of Conditional Asset Pricing Models.pdf

   9) 第七章:AP7.pptx  AP7.pdf

   10)第八章:AP8.pptx AP8.pdf

   11)第九章:AP9.pptx AP9.pdf

   12)第10-13章:GMM.pdf

  13)第十四章:AP14.pdf

   14)第十五章:AP15.pdf

  15)第十六章:AP16.pdf

   16)第十七章:AP17.ppt

   17)第十八章:AP18.ppt 

   18) Econometric specification of stochastic discount factor models.ppt Econometric specification of stochastic discount factor models.pdf(新)

   19)Decomposition of Stochastic Discount Factor and their Volatility Bound.ppt 

   20)AP19-1.pptx  AP19-1.pdf AP19-2.pptx AP19-2.pdf

   20)第20、20章:新金融理论与事实 new facts.ppt  new facts.pdf

   21)讲座:金融市场与经济  asset pricing.ppt(新) 主讲:郑振龙

6、Reading list:

1)必读材料

A.asset pricing at the millennium.pdf.

B.Financial Markets and the Real Economy  Revised August 2005.  This review will introduce a volume by the same title in the Edward Elgar series "The International Library of Critical Writings in Financial Economics" edited by Richard Roll. Everything you wanted to know, but didn’t have time to read, about equity premium, consumption-based models, investment-based models, general equilibrium in asset pricing, labor income and idiosyncratic risk.  New version (Aug 2005) is more self-contained and better for reading if you don’t have the volume articles in hand.

C.关于效用理论,请看John Compbellutilitytheorynotes091505.pdf

D.John Compbell关于随机贴现因子的讲义sdfnotes101005.pdf

E.John Compbell关于组合选择与资产定价的讲义portfoliochoicenotes092605.pdf

F.John Compbell关于现值关系的讲义presentvaluenotes101805.pdf

G.John Compbell开列的阅读清单Ec2723 Readings Fall 2005

H.Mehra:the equity premium_why is a puzzle.pdf

2) Predictable returns and volatility in the time series and cross section

A. Facts

New Facts in Finance 
April 1999. This is a review essay  of the transition from unpredictable returns and CAPM to predictable returns and multifactor models. Economic Perspectives XXIII (3) Third quarter 1999 (Federal Reserve Bank of Chicago), also NBER working paper 7169.

Asset Pricing Ch. 20, 21.

Jung, Geeman, and Robert H. Shiller, 2002, “One Simple Test of Samuelson’s Dictum for the Stock Market” NBER Working paper 9348

Cohen, Randolph, Christopher Polk and Tuomo Vuolteenaho, 2002, “The Value Spread” forthcoming Journal of Finance

Cochrane, John H. and Monika Piazzesi “Bond Risk Premia” Manuscript, University of Chicago and UCLA

Ribiero, Ruy “Predictable dividends and returns” Manuscript, University of Chicago

Lamont, Owen, 1998, “Earnings and Expected Returns,” Journal of Finance 53

B. Models and explanations

Lettau, Martin and Syney Ludvigson,  2001,  “Resurrecting the (C)CAPM.” Journal of Political Economy 109: 1238-1287

Breannan, Michael, Yihong Xia and Ashley Wang, 2002 Intertemporal Capital Asset Pricing and theFama-French Three-Factor Model  Manuscript UCLA and Wharton.

Gomes, Joao, Leonid Kogan and Lu Zhang, “Equilibrium Cross Section of Returns” Forthcoming, Journal of Political Economy

Menzly, Lior, Jesus Santos and Pietro Veronesi, 2002, “The time series of the cross section of asset prices” Manuscript University of Chicago

Longstaff Francis, and Monika Piazzesi 2002, “Corporate Earnings and the Equity Premium” Manuscript, UCLA

 

4)Dynamic portfolio theory

A. Classics

Ingersoll, Jonathan E. Jr.,  Theory of Financial Decision Making Ch. 4 Mean variance portfolio analysis, Ch 11 Discrete Time Intertemporal Portfolio Selection Ch. 13 Continuous Time Portfolio Selection

Duffie, Darrell, Dynamic Asset Pricing Theory. Ch8 (1st ed) or Chn 9 (3d ed) Optimal Portfolio and Consumption Choice

(I hope these cover the classic references, more simply than the originals:  

Merton, Robert C. 1971, Optimum Consumption and Portfolio Rules in a Continuous-Time Model, Journal of Economic Theory 3, 373-413

Cox, John C. and Chi-Fu Huang, Optimal Consumption and Portfolio Policies when Asset Prices follow a Diffusion Process Journal of Economic Theory, 49, 33-83.

If not, we’ll read the originals too. )

Cuoco, Domenico, 1997. Optimal Consumption and Equilibrium Prices with Portfolio Constraints and Stochastic Income,” Journal of Economic Theory v72, n1 (January), 33-73.

B. A simple linear quadratic approximation.

Fama, Eugene F. 1996, “Multifactor portfolio efficiency and multifactor asset pricing,” Journal of Financial and Quantitative Analysis, 31 441-465

Cochrane, John, “Portfolio Advice for a Multifactor World” Economic Perspectives Federal Reserve Bank of Chicago 23 (3) 59-78 (1999) (Revision of NBER Working Paper 7170)

C. Campbell’s approach to computing Merton problems

Campbell, John Y. and Luis M. Viceira 1999, Consumption and Portfolio Decisions when Expected Returns are Time Varying” Quarterly Journal of Economics, 114, 433-495

Campbell, John Y. and Luis M. Viceira, 2000,  Consumption and Portfolio Decisions when Expected Returns are Time Varying: Erratum"  September

Cambpell, John Y, Yeung Lewis Chan and Luis Viceira, 2003,  "A Multivariate Model of Strategic Asset Allocation"  NBER Working Paper No. 8566, October 2001, forthcoming Journal of Financial Economics, January 2003

D. Miscellanious new portfolio theory

Barberis, Nicholas, 2000,  Investing for the Long Run when Returns are Predictable"Journal of Finance, February.

Heaton, John, and Deobrah Lucas 2000, “Portfolio Chioce in the Presence of Background Risk” The Economic Journal 110, 1-26

Mitchell, Mark and Todd Pulvino, 2001, “Characteristics of Risk and Return in Risk Arbitrage” Journal of Finance LVI 2135-2176

5) Liquidity and short sales constraints

A. Facts

Lamont, Owen and Richard Thaler, “Can the Market Add and Subtract? Mispricing in Tech Stock Carve-Outs” Forthcoming Journal of Political Economy

Ofek, Eli and Matthew Richardson, “DotCom Mania: the Rise and Fall of Internet Stock Prices” forthcoming Journal of Finance

Cochrane, John H., “Stock as Money: Convenience Yield and the Tech-Stock Rollercoaster” NBER working paper 8987

Longstaff, Francis, 2002, “The flight to liquidity premium in US Treasury Bond Prices,” NBER working paper 9312

Wurgler, Jeffrey, and Ekaterina Zhurasvkaya, 2002, “Does Arbitrage Flatten the Demand Curve for Stocks?” Journal of Business 75 583-608.

Pastor, Lubos and Robert Stambaugh, “Liquidity Risk and Expected Stock Returns,” Forthcoming Journal of Political Economy

B. Models

Harrison, J. Michael and David Kreps 1978, “Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations” Quarterly Journal of Economics 92 323-336.

Duffie, Darrell, Nicolae Garleanu and Lasse Pedersen 2001, “Securities Lending Shorting and Pricing,” Journal of Financial Economics, Forthcoming.

Scheinkman, Jose and Wei Xiong, “Overconfidence and Speculative Bubbles,” Manuscript, Princeton University

6)lecture notes for empirical finance

7) paper topic for phd students

8)其他论文: