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| Acknowledgments v Preface | |
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| Asset Pricing Theory | |
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| Consumption-Based Model and Overview | |
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| Basic Pricing Equation | |
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| Marginal Rate of Substitution/Stochastic Discount Factor | |
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| Prices, Payoffs, and Notation | |
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| Classic Issues in Finance | |
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| Discount Factors in Continuous Time | |
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| Problems | |
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| Applying the Basic Model | |
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| Assumptions and Applicability | |
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| General Equilibrium | |
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| Consumption-Based Model in Practice | |
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| Alternative Asset Pricing Models: Overview | |
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| Problems | |
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| Contingent Claims Markets | |
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| Contingent Claims | |
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| Risk-Neutral Probabilities | |
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| Investors Again | |
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| Risk Sharing | |
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| State Diagram and Price Function | |
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| The Discount Factor | |
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| Law of One Price and Existence of a Discount Factor | |
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| No Arbitrage and Positive Discount Factors | |
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| An Alternative Formula, and x* in Continuous Time | |
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| Problems | |
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| Mean-Variance Frontier and Beta Representations | |
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| Expected Return-Beta Representations | |
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| Mean-Variance Frontier: Intuition and Lagrangian Characterization | |
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| An Orthogonal Characterization of the Mean-Variance Frontier | |
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| Spanning the Mean-Variance Frontier | |
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| A Compilation of Properties of R*, R e *, and x* | |
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| Mean-Variance Frontiers for m: The Hansen-Jagannathan Bounds | |
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| Problems | |
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| Relation between Discount Factors, Betas, and Mean-Variance Frontiers | |
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| From Discount Factors to Beta Representations | |
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| From Mean-Variance Frontier to a Discount Factor and Beta Representation | |
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| Factor Models and Discount Factors | |
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| Discount Factors and Beta Models to Mean-Variance Frontier | |
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| Three Risk-Free Rate Analogues | |
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| Mean-Variance Special Cases with No Risk-Free Rate | |
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| Problems | |
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| Implications of Existence and Equivalence Theorems | |
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| Conditioning Information | |
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| Scaled Payoffs | |
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| Sufficiency of Adding Scaled Returns | |
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| Conditional and Unconditional Models | |
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| Scaled Factors: A Partial Solution | |
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| Summary | |
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| Problems | |
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| Factor Pricing Models | |
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| Capital Asset Pricing Model (CAPM) | |
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| Intertemporal Capital Asset Pricing Model (ICAPM) | |
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| Comments on the CAPM and ICAPM | |
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| Arbitrage Pricing Theory (APT) | |
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| APT vs. ICAPM | |
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| Problems | |
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| Estimating and Evaluating Asset Pricing Models | |
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| GMM in Explicit Discount Factor Models | |
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| The Recipe | |
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| Interpreting the GMM Procedure | |
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| Applying GMM | |
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| GMM: General Formulas and Applications | |
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| General GMM Formulas | |
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| Testing Moments | |
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| Standard Errors of Anything by Delta Method | |
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| Using GMM for Regressions | |
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| Prespecified Weighting Matrices and Moment Conditions | |
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| Estimating on One Group of Moments, Testing on Another | |
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| Estimating the Spectral Density Matrix | |
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| Problems | |
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| Regression-Based Tests of Linear Factor Models | |
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| Time-Series Regressions | |
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| Cross-Sectional Regressions | |
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| Fama-MacBeth Procedure | |
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| Problems | |
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| GMM for Linear Factor Models in Discount Factor Form | |
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| GMM on the Pricing Errors Gives a Cross-Sectional Regression | |
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| The Case of Excess Returns | |
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| Horse Races | |
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| Testing for Characteristics | |
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| Testing for Priced Factors: Lambdas or b''s? | |
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| Problems | |
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| Maximum Likelihood | |
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| Maximum Likelihood | |
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| ML is GMM on the Scores | |
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| When Factors are Returns, ML Prescribes a Time-Series Regression | |
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| When Factors are Not Excess Returns, Regression ML Prescribes a Cross-Sectional | |
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| Problems | |
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| Time Series, Cross-Section, and GMM/DF Tests of Linear Factor Models | |
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| Three Approaches to the CAPM in Size Portfolios | |
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| Monte Carlo and Bootstrap | |
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| Which Method? | |
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| Bonds and Options | |
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| Option Pricing | |
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| Background | |
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| Black-Scholes Formula | |
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| Problems | |
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| Option Pricing without Perfect Replication | |
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| On the Edges of Arbitrage | |
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| One-Period Good-Deal Bounds | |
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| Multiple Periods and Continuous Time | |
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| Extensions, Other Approaches, and Bibliography | |
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| Problems | |
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| Term Structure of Interest Rates | |
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| Definitions and Notation | |
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| Yield Curve and Expectations Hypothesis | |
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| Term Structure Models--A Discrete-Time Introduction | |
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| Continuous-Time Term Structure Models | |
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| Three Linear Term Structure Models | |
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| Bibliography and Comments | |
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| Problems | |
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| Empirical Survey | |
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| Expected Returns in the Time Series and Cross Section | |
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| Time-Series Predictability | |
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| The Cross Section: CAPM and Multifactor Models | |
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| Summary and Interpretation | |
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| Problems | |
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| Equity Premium Puzzle and Consumption-Based Models | |
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| Equity Premium Puzzles | |
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| New Models | |
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| Bibliography | |
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| Problems | |
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| Appendix | |
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| Appendix | |
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| Continuous Time | |
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| Brownian Motion | |
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| Diffusion Model | |
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| Ito''s Lemma | |
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| Problems | |
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| References | |
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| Author Index | |
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| Subject Index | |