| Description |
xvii, 533 pages : illustrations ; 24 cm |
| Contents |
Consumption-based model and overview -- Applying the basic model -- Contingent claims markets -- The discount factor -- Mean-variance frontier and beta representations -- Relation between discount factors, betas, and mean-variance frontiers -- Implications of existence and equivalence theorems -- Conditioning information -- Factor pricing models -- GMM in explicit discount factor models -- GMM : general formulas and applications -- Regression-based tests of linear factor models -- GMM for linear factor models in discount factor form -- Maximum likelihood -- Time-series, cross-section, and GMM/DF tests of linear factor models -- Which method? -- Option pricing -- Option pricing without perfect replication -- Term structure of interest rates -- Expected returns in the time series and cross section -- Equity premium puzzle and consumption-based models -- Appendix: -- A.1 Brownian motion -- A.2 Diffusion model -- A.3 Ito's Lemma |
| Summary |
"Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics. This revised edition corrects the original printing throughout, and updates and clarifies the treatment of a number of important topics."--BOOK JACKET |
| Notes |
Previous ed.: 2001 |
|
Formerly CIP. Uk |
| Bibliography |
Includes bibliographical references (pages 497-511) and indexes |
| Subject |
Capital assets pricing model.
|
|
Securities.
|
| LC no. |
2004050561 |
| ISBN |
0691121370 cloth alkaline paper |
|
