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Asset Pricing
Format: Hardcover|Change
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on February 11, 2016
This is a good book; it packs a lot of material but lacks something. Now, this something is hard to figure out from an initial glimpse. When you look at some of the material; you fail to see it easily (understand it) from the book. Then, upon further reflection you comprehend what the author is trying to convey, and realize that the book could have said it (presented the material) better. Two other books that were mentioned to me were by Costis Skiadas and Darrell Duffie; I have not read those books and hence cannot compare. Perhaps this book is the best available in the field; perhaps the material or the topics themselves are abtruse and hard. This means that this field is still in need of a classic reference book. Whenever I read any text book and it falls short of excellent exposition and clear connection with the readers (may well be due to the limitations of the reader which is why they are using a text book) ... I always feel that James Hamilton (of Time Series Analysis fame) should give lessons to others on how to write text books... that would serve society and this field immensely.
1 helpful vote
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on July 5, 2017
excellant book!
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on December 10, 2013
This is a great book. Professor John Cochrane is great educator, he can makes involved material look easy without simplifying the subject. After 450 pages you still ask for more. Great literature both for academia and practitioners
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on October 25, 2014
I love this book. It is very well written and complex ideas are explained in a very clear way.
1 helpful vote
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on May 12, 2007
Upon recommendation by a friend of the author, I ordered this book through amazon. I read the entire book from cover to cover in a month. I am onto my second pass through the book.

Cochrane organizes pricing theories from CAPM to APT to derivative pricing, all of which I have learned through disparate sources, around a central theme: consumption based pricing theory. Then he goes on explaining the equivalence among these pricing theories, and indicate situations where these theories may best be used.

The author balances the theory with equal emphasis on empirical studies, from estimation methods to common pricing models, especially the Fama-French model. He also shares with us intuitive discussions of value factors, forecasting power of dividend/price ratios and the puzzling momentum factors.

What is especailly good about this book, I found, at least for myself, is how the author manages a casual style without losing rigor and focus. The author in 500+ pages review as well as explore vast amount of financial literature and present it to us in a clear and unified fashion. Another aspect I particularly like is that the author probably has students or people without finance ph.d.s in mind when he explains common but potentially confusing terminologies used in different segments of academic research.

Cochrane sketches out proofs for most of theorems and corollaries. Perhaps it is not the purpose of this book, and should not be required of it as such, that detail proofs be provided. Those can be found in references listed at the end of the book.

Overall I highly recommend this book to people who are interested in asset pricing theories as well as practice. Minimal advanced mathematics is sufficient, such as calculus and linear algebra.
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on January 18, 2007
I took a Finance Ph.D. - level Asset Pricing course that used this book along with other sources and I'm quite happy with it. In particular, I enjoyed Ch 21 "Equity Premium puzzle and Consumption-Based Models". Some Matlab code for Campbell-Cochrane model is still available on my website (click on my name above).
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on January 15, 2008
It's a very good introduction to both theoretical and empirical financial economics. Despite readers need to have a good background on macroeconomics and econometrics,after reading this book they will be able to understand the most recent articles by Cochrane, Campbell, Shiller and all the younger researchers who are doing theoretical and empirical research on the determinants of not only stocks prices but also for bonds, options and exchange rates. This book might not be useful for somebody who what to learn about the analysis and trading of financial instruments on a daily basis.
1 helpful vote
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on February 14, 2015
Best asset pricing book out there
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on October 7, 2015
Great Book. It provides the reader with a solid understanding of asset pricing theory. The layout of it's contents is very well designed.
Maybe it would be nice to have more applications, and examples.
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on February 26, 2015
Brilliant exposition.
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