John H. Cochrane Bücher

Winner of the Paul A. Samuelson Award, John Cochrane's revised edition of Asset Pricing unifies and modernizes the science of asset pricing for advanced students and professionals. Cochrane connects the pricing of all assets to a core concept: price equals expected discounted payoff, reflecting the macroeconomic risks of each security's value. By employing a single stochastic discount factor, he constructs a cohesive framework applicable to stocks, bonds, and options. Each model—consumption-based, CAPM, multifactor, term structure, and option pricing—is presented as a variant of this discounted factor. This framework also introduces a state-space geometry for mean-variance frontiers and asset pricing models, positioning payoffs in various states of nature on the axes, which results in a new linear representation of asset pricing concepts. Cochrane employs the Generalized Method of Moments (GMM) to analyze sample average prices and discounted payoffs, verifying the fundamental relationship between price and expected discounted payoff. He adeptly navigates between discount factor, GMM, and state-space language, as well as the beta, mean-variance, and regression terminology prevalent in empirical studies. Additionally, the book reviews contemporary empirical research on return predictability, value and other cross-sectional puzzles, and the equity premium puzzle and its solutions. Designed as both a summary for academics and pr

In the fall of 2008, fifteen leading economists gathered at Squam Lake, New Hampshire, to devise a long-term plan for financial regulation reform. The resulting insights form a unified, nonpartisan strategy aimed at addressing the issues plaguing global financial markets. Unlike the ideologically driven proposals that have dominated discussions, this report presents a clear action plan designed to transform financial regulation for future generations. The authors highlight the ongoing conflict between financial institutions and society, offering transparent solutions to bridge this divide. They identify critical gaps in the current regulatory framework concerning complex financial entities, retirement savings, and credit default swaps. Innovative ideas for new financial instruments are proposed to recapitalize banks without imposing costs on taxpayers. To mitigate the risk of large bank failures, the report advocates for higher capital requirements and the establishment of a systemic regulator within the central bank. By analyzing the failures of the financial system and recommending necessary reforms, this report combines extensive academic, private sector, and public policy expertise. Its urgent recommendations aim to enhance the financial well-being of all, making it essential reading for anyone concerned about the health of the global economy.