Financial markets and asset pricing

Author(s)

• Constantinides, George M.
• Harris, Milton
• Stulz, René M.

Bibliographic Information

Financial markets and asset pricing

edited by George M. Constantinides, Milton Harris and René M. Stulz

（Handbooks in economics, 21 . Handbook of the economics of finance ; v. 1B, 2B）

Elsevier/North-Holland, 2003-

• [v. 1]
• [v. 2]

Note

ISBN for sub-series "Handbook of the economics of finance" set (1A, 1B): 044450298X

ISBN for sub-series "Handbook of the economics of finance" set (2A, 2B): 9780444594167

[Vol. 2] published: Amsterdam : North-Holland, an imprint of Elsevier, 2013

Pagination: [v. 1]: xxv, 606-1246, 25 p. -- [v. 2]: xxxii, 799-1611, xxvi p

[Vol. 2] has no series number

Includes bibliographical references and index

Description and Table of Contents

Volume

[v. 1] ISBN 9780444513632

Description

Volume 1B covers the economics of financial markets: the saving and investment decisions; the valuation of equities, derivatives, and fixed income securities; and market microstructure.

Table of Contents

Arbitrage, State Prices and Portfolio Theory (P.H. Dybvig, S. Ross). Intertemporal Asset Pricing Theory (D. Duffie). Tests of Multi-Factor Pricing Models, Volatility, and Portfolio Performance (W.E. Ferson). Consumption-Based Asset Pricing (J.Y. Campbell). The Equity Premium in Retrospect (R. Mehra, E.C. Prescott). Anomalies and Market Efficiency (G.W. Schwert). Are financial assets priced locally or globally? (G.A. Karolyi, R. Stulz). Microstructure and Asset Pricing (D. Easley, M. O'Hara). A Survey of Behavioral Finance (N.C. Barberis, R.H. Thaler). Finance, Optimization, and the Irreducibly Irrational Component of Human Behavior (R.J. Shiller). Derivatives (R.E Whaley). Fixed Income Pricing (Q. Dai, K.Singleton).

Volume

[v. 2] ISBN 9780444594068

Description

The 12 articles in this second of two parts condense recent advances on investment vehicles, performance measurement and evaluation, and risk management into a coherent springboard for future research. Written by world leaders in asset pricing research, they present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek authoritative perspectives and important details, this volume shows how the boundaries of asset pricing have expanded and at the same time have grown sharper and more inclusive.

Table of Contents

1. Advances in Consumption-Based Asset Pricing: Empirical Tests (S. Ludvigson) 2. Bond Pricing and the Macroeconomy (G. Duffee) 3. Investment Performance: A Review and Synthesis (W. Ferson) 4. Mutual Funds (N. Elton, M. Gruber) 5. Hedge Funds (W. Fung, D Hsieh) 6. Financial Risk Measurement for Financial Risk Management (T. Andersen, T. Bollerslev, P. Christoffersen, F. Diebold) 7. Bubbles, Financial Crises, and Systemic Risk (M. Brunnermeier, M. Oehmke) 8. Market Liquidity-Theory and Empirical Evidence (D. Vayanos, J. Wang) 9. Credit Derivatives (J. Hull, A. White) 10. Household Finance: An Emerging Field (L. Guiso, P. Sodini) 11. The Behavior of Individual Investors (B. Barber, T. Odean) 12. Risk Pricing over Alternative Investment Horizons (L. Hansen)

by "Nielsen BookData"

Details

• NCID: BA64740893
• ISBN:
  • 0444513639
  • 9780444594068
• LCCN: 2003063077
• Country Code: ne
• Title Language Code: eng
• Text Language Code: eng
• Place of Publication: Amsterdam ; Tokyo
• Pages/Volumes: v.
• Size: 25 cm
• Classification:
  • LCC : HG173
  • DC22 : 332
• Subject Headings:
  • LCSH : Finance
  • LCSH : Economics
  • LCSH : Asset pricing
• Parent Bibliography ID:
  • BA00065123