Key Features

  • Offers analyses by top scholars of recent asset pricing scholarship
  • Explains how the 2008 financial crises affected theoretical and empirical research
  • Covers core and newly developing fields

Readership

Graduate students and professors worldwide working in all subdisciplines of economics and finance

Table of Contents

Introduction to the Series

Preface

VOLUME 2B Financial Markets and Asset Pricing

Chapter 12. Advances in Consumption-Based Asset Pricing: Empirical Tests

1 Introduction

2 Consumption-Based Models: Notation and Background

3 GMM and Consumption-Based Models

4 Euler Equation Errors and Consumption-Based Models

5 Scaled Consumption-Based Models

6 Asset Pricing with Recursive Preferences

7 Stochastic Consumption Volatility

8 Asset Pricing with Habits

9 Asset Pricing with Heterogeneous Consumers and Limited Stock Market Participation

10 Conclusion

References

Chapter 13. Bond Pricing and the Macroeconomy

1 Introduction

2 A Factor Model

3 No-Arbitrage Restrictions

4 The Variation of Yields with the Macroeconomy: US Evidence

5 Modeling Risk Premia

6 New Keynesian Models

7 Concluding Comments

References

Chapter 14. Investment Performance: A Review and Synthesis

1 Introduction

2 The Stochastic Discount Factor (SDF) Framework

3 Performance Measures

4 Implementation Issues and Empirical Examples

5 Fund Managers’ Incentives and Investor Behavior

6 Conclusions

References

Chapter 15. Mutual Funds

1 Introduction

2 Issues with Open-End Funds

3 Closed-End Funds

4 Exchange-Traded Funds (ETFs)

5 Conclusion

References

Chapter 16. Hedge Funds

1 The Hedge Fund Business Model—A Historical Perspective

2 Empirical Evidence of Hedge Fund Performance

3 The Risk in Hedge Fund Strategies

4 Where Do Investors Go From Here?

4.2 Risk Management and a Tale of Two Risks

References

Chapter 17. Financial Risk Measurement for Financial Risk Management

1 Introduction

2 Conditional Portfolio-Level Risk Analysis

Details

No. of pages:
872
Language:
English
Copyright:
© 2013
Published:
Imprint:
North Holland
Print ISBN:
9780444594068
Electronic ISBN:
9780444594730

About the editors

George M. Constantinides

Affiliations and Expertise

University of Chicago, Chicago, IL, USA

Milton Harris

Milt Harris is a Fellow of the Econometric Society and of the American Finance Association. He is past president of the Western Finance Association and the Society for Financial Studies.

Affiliations and Expertise

University of Chicago, Chicago, IL, USA

Rene M. Stulz

Affiliations and Expertise

The Ohio State University, Columbus, OH, USA

Reviews

"A scholarly compendium of contemporary research in Financial Economics which will be of great value not only for researchers in finance but also for researchers in many other of economics including money and banking, growth and development, international economics, public finance, and macro economics."

Edward C. Prescott, Nobel Laureate, Arizona State University

"This Handbook provides a timely and comprehensive account of the state-of-the-art of Financial Economics, including corporate finance and asset pricing, written by many of the leading names in their respective fields."

Harry M.Markowitz, Nobel Laureate, University of California, San Diego