Financial Decisions and Markets | Buch

Cover: 9780691160801 | Financial Decisions and Markets | A Course in Asset Pricing | Campbell

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Beschreibung

In Financial Decisions and Markets, John Campbell, one of the field's 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.

Über den Autor

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.

Inhaltsverzeichnis

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

Details

Erscheinungsjahr:	2018
Fachbereich:	Betriebswirtschaft
Genre:	Importe , Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Buch
Inhalt:	Einband - fest (Hardcover)
ISBN-13:	9780691160801
ISBN-10:	0691160805
Sprache:	Englisch
Einband:	Gebunden
Autor:	Campbell, John Y.
Hersteller:	Princeton University Press
Verantwortliche Person für die EU:	Libri GmbH, Europaallee 1, D-36244 Bad Hersfeld, gpsr@libri.de
Maße:	263 x 187 x 37 mm
Von/Mit:	John Y. Campbell
Erscheinungsdatum:	29.01.2018
Gewicht:	1,037 kg