Individual Author Record
General InformationName: John H. CochranePen Name: NoneGenre: NonFiction Born: Sites:

Illinois Connection
Cochrane lives in Chicago.
Biographical and Professional Information
John H. Cochrane is the AQR Capital Management Distinguished Service Professor of Finance at the University of Chicago Booth School of Business. He currently teaches the MBA class “Advanced Investments” and a variety of PhD classes in Asset Pricing and Monetary Economics. He also writes occasional Opeds, and blogs as “the Grumpy Economist.”
Published Works
Titles At Your Library
Asset Pricing: Revised Edition ISBN: 0691121370 Princeton University Press. 2005
Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single ideaprice equals expected discounted payoffthat captures the macroeconomic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each modelconsumption based, CAPM, multifactor, term structure, and option pricingis derived as a different specification of the discounted factor. The discount factor framework also leads to a statespace geometry for meanvariance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and statespace language and the beta, meanvariance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.

Awards
 *CoWinner of the 2001 Paul A. Samuelson award, ''Asset Pricing''