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1、Asset PricingRevised EditionContentsAcknowledgmentsvPrefacexiiiPart I.Asset Pricing Theory11Consumption-Based Model and Overview3 1.1Basic Pricing Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .4 1.2Marginal Rate of Substitution/Stochastic Discount Factor6 1.3Prices, Payoffs, an
2、d Notation. . . . . . . . . . . . . . . . . . . . . . . . .8 1.4Classic Issues in Finance . . . . . . . . . . . . . . . . . . . . . . . . . . . .10 1.5Discount Factors in Continuous Time . . . . . . . . . . . . . . . . .25 Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3、. . . . . . .312Applying the Basic Model35 2.1Assumptions and Applicability . . . . . . . . . . . . . . . . . . . . . . .35 2.2General Equilibrium . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .37 2.3Consumption-Based Model in Practice . . . . . . . . . . . . . . . .41 2.4Alternative A
4、sset Pricing Models: Overview . . . . . . . . . . . . .43 Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .453Contingent Claims Markets49 3.1Contingent Claims . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .49 3.2Risk-Neutral Probabilities .
5、. . . . . . . . . . . . . . . . . . . . . . . . . .51 3.3Investors Again . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .53 3.4Risk Sharing . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .54 3.5State Diagram and Price Function . . . . . . . . . . . .
6、 . . . . . . . .564The Discount Factor61 4.1Law of One Price and Existence of a Discount Factor . . . .62 4.2No Arbitrage and Positive Discount Factors . . . . . . . . . . . .67viiviiiContents4.3An Alternative Formula, and x* in Continuous Time. . . . .72 Problems . . . . . . . . . . . . . . . . . .
7、 . . . . . . . . . . . . . . . . . . . . . . .755Mean-Variance Frontier and Beta Representations77 5.1Expected Return-Beta Representations . . . . . . . . . . . . . . . .78 5.2Mean-Variance Frontier: Intuition and Lagrangian Characterization . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
8、. . . . . .81 5.3An Orthogonal Characterization of the Mean-Variance Frontier . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .84 5.4Spanning the Mean-Variance Frontier . . . . . . . . . . . . . . . . .88 5.5A Compilation of Properties of R, Re, and x. . . . . . . .
9、 . .89 5.6Mean-Variance Frontiers for Discount Factors: The HansenJagannathan Bounds . . . . . . . . . . . . . . . . . . . . . . . .92 Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .976Relation between Discount Factors, Betas, and Mean-Variance Frontiers99
10、6.1From Discount Factors to Beta Representations . . . . . . . . .100 6.2From Mean-Variance Frontier to a Discount Factor and Beta Representation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .103 6.3Factor Models and Discount Factors . . . . . . . . . . . . . . . . . .106 6.4Discount
11、 Factors and Beta Models to Mean-Variance Frontier . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .110 6.5Three Risk-Free Rate Analogues . . . . . . . . . . . . . . . . . . . . . .111 6.6Mean-Variance Special Cases with No Risk-Free Rate . . . . .117 Problems . . .
12、 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1207Implications of Existence and Equivalence Theorems1218Conditioning Information131 8.1Scaled Payoffs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .132 8.2Sufficiency of Adding Scaled Returns. .
13、. . . . . . . . . . . . . . . .134 8.3Conditional and Unconditional Models . . . . . . . . . . . . . . .136 8.4Scaled Factors: A Partial Solution . . . . . . . . . . . . . . . . . . . . .144 8.5Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .145 Problems . .
14、. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1469Factor Pricing Models149 9.1Capital Asset Pricing Model (CAPM) . . . . . . . . . . . . . . . . . .152 9.2Intertemporal Capital Asset Pricing Model (ICAPM) . . . . .165 9.3Comments on the CAPM and ICAPM . . . . . . . . .
15、 . . . . . . . .167 9.4Arbitrage Pricing Theory (APT) . . . . . . . . . . . . . . . . . . . . . .173Contentsix9.5APT vs. ICAPM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .182 Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .183Part
16、II.Estimating and Evaluating Asset Pricing Models18510 GMM in Explicit Discount Factor Models189 10.1The Recipe . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .190 10.2Interpreting the GMM Procedure . . . . . . . . . . . . . . . . . . . .192 10.3Applying GMM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .19611 GMM: General Formulas and Applications201 11.1General GMM Formulas . . . . . . . . . . . . . . . . . . . . . . . . . . . .202 11.2T
