TITLE
Financial markets and the real economy / ed. by John H. Cochrane.
PUBLISHER/YEAR
Northampton, MA
Edward Elgar Publishing 2006.
PHYSICAL DESCRIPTION
lxix, 649 p. cm.
SERIES
- (The international library of critical writings in financial economics ; 18). (An Elgar reference collection).
ADDED NAME
Cochrane, John Howland ed.
ISBN
1843761920
UDC NUMBER
336.01
|
Location | Address | Count | Shelf | Status | |
---|---|---|---|---|---|
Bibliotēka | 01.2 | 1 | 336.01 | On a shelf | Available to order |
Annotation
This insightful collection examines the intersection
between macroeconomics and finance. The key challenge in this area is to find
the right measure of ‘bad times’ (the marginal value of wealth) to explain some
assets’ high average returns or low prices as compensation for those assets'
tendency to pay off poorly in bad times.
The volume includes a carefully
chosen selection of articles that survey the various approaches to this question
– including the equity premium, consumption based models, general equilibrium
models and labour income/idiosyncratic risk approaches. The editor also provides
a comprehensive introduction which sets these papers in context and surveys the
broader literature.
Contents:
Acknowledgements
Introduction John H.
Cochrane
PART I FACTS: TIME-VARIATION AND BUSINESS CYCLE
CORRELATION OF RETURNS
1. John H. Cochrane (1999), ‘New Facts
in Finance’
2. Eugene F. Fama and Kenneth R. French (1989), ‘Business
Conditions and Expected Returns on Stocks and Bonds’
3. Martin Lettau and
Sydney Ludvigson (2001), ‘Consumption, Aggregate Wealth, and Expected Stock
Returns’
4. Eugene F. Fama and Kenneth R. French (1996), ‘Multifactor
Explanations of Asset Pricing Anomalies’
5. Jimmy Liew and Maria Vassalou
(2000), ‘Can Book-to-Market, Size and Momentum be Risk Factors that Predict
Economic Growth?’
PART II EQUITY PREMIUM
6.
Rajnish Mehra and Edward C. Prescott (1985), ‘The Equity Premium: A
Puzzle’
7. John H. Cochrane and Lars Peter Hansen (1992), ‘Asset Pricing
Explorations for Macroeconomics’
PART III CONSUMPTION
MODELS
8. Lars Peter Hansen and Kenneth J. Singleton (1982),
‘Generalized Instrumental Variables Estimation of Nonlinear Rational
Expectations Models’
9. Lars Peter Hansen and Kenneth J. Singleton (1984),
‘Errata’
10. Martin Lettau and Sydney Ludvigson (2001), ‘Resurrecting the
(C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying’
11. John
Y. Campbell and John H. Cochrane (1999), ‘By Force of Habit: A Consumption-Based
Explanation of Aggregate Stock Market Behavior’
PART IV
PRODUCTION, INVESTMENT AND GENERAL EQUILIBRIUM MODELS
12. John H. Cochrane (1991), ‘Production-Based Asset Pricing and the Link
Between Stock Returns and Economic Fluctuations’
13. John H. Cochrane (1996),
‘A Cross-Sectional Test of an Investment-Based Asset Pricing Model’
14. Urban
J. Jermann (1998), ‘Asset Pricing in Production Economies’
15. Michele
Boldrin, Lawrence J. Christiano and Jonas D.M. Fisher (2001), ‘Habit
Persistence, Asset Returns, and the Business Cycle’
16. Lior Menzly, Tano
Santos and Pietro Veronesi (2004), ‘Understanding Predictability’
17. Thomas
D. Tallarini Jr. (2000), ‘Risk-Sensitive Real Business Cycles’
18. Robert E.
Hall (2001), ‘The Stock Market and Capital Accumulation’
PART V
LABOR INCOME AND IDIOSYNCRATIC RISK
19. John Y.
Campbell (1996), ‘Understanding Risk and Return’
20. George M. Constantinides
and Darrell Duffie (1996), ‘Asset Pricing with Heterogeneous Consumers’
21.
Alon Brav, George M. Constantinides and Christopher C. Geczy (2002), ‘Asset
Pricing with Heterogeneous Consumers and Limited Participation: Empirical
Evidence’
Name Index