Asset Pricing: Revised Edition

By John H. Cochrane. 2005

787 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/e3beb9f93804196cc4e7860548596ebb8680c347

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Citations in the corpus

Information Quality and Long‐Run Risk: Asset Pricing Implications (2010, background): “Empirical evidence suggests that risk premia are countercyclical (see, e.g., Cochrane (2005)).”
Monetary Policy Through Production Networks: Evidence from the Stock Market (2017, methodology): “Therefore, we follow Cochrane (2005) and use the first-step estimates with identity weighting matrix, which are still consistent albeit less efficient, and calculate the standard errors by bootstrapping the event and associated pre-event dates.”
Transport Corridors and Their Wider Economic Benefits (2018, background): “10Abstracting from time notation allows us to avoid discussion of discount rates, which ultimately adds the unnecessary complexity of stochastic discount factors based on pricing kernels contingent on the state of the economy (Cochrane, 2009).”
ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER (2018, background): “Note that when these two terms are dropped, − exp(−γFxF ) and − exp(−γLxL) are still utility functions, and indeed this form of utility functions is directly defined as exponential utility in some classical textbooks for financial economics (e.g., p.154 in Cochrane (2005)).”
Macro Factors in Bond Risk Premia (2005, methodology): “Our notation for excess bond returns and yields closely follows that in Cochrane (2005).”
The Lucas Orchard (2011, methodology): “Equation (14) generalizes the result of Cochrane, Longstaff and Santa-Clara (2008) (equation (50) in their paper) beyond the log utility special case.”
On LASSO for predictive regression (2018, background): “As recognized in the literature, the signal of persistent predictors may become stronger in longhorizon return prediction (Cochrane, 2009).”
Presidential Address: Discount Rates (2011, background): “…convertible arbitrage markets through two episodes in which specialized hedge funds left the market and it took months for multi-strategy funds to move in. 43 Acharya and Pedersen (2005), Amihud, Mendelson, and Pedersen (2005), Cochrane (2005a), Pastor and Stambaugh (2003), Vayanos and Wang (2011).”
Limitations of integrated assessment models of climate change (2009, background): “…appliances, industrial processes, and automobiles, as well as more widespread use of combined heat and power technologies, wind energy systems, solar panels, and other measures for reducing emissions all involve purchases of marketed goods and services whose attendant cash flows can be…”
Consumption-Based Asset Pricing with Higher Cumulants (2010, background): “Cochrane, J. H., 2005, Asset Pricing, revised edition (Princeton University Press, Princeton, NJ).”