Elsevier S & T

Handbook of the Economics of Finance: Financial Markets and Asset Pricing

Constantinides, G.; Stulz, Rene M.; Harris, M.

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Table of contents
  • Cover
  • Handbook of the Economics of Financeiii
  • Copyright Pageiv
  • Contents of Volume 1Bxvii
  • Introduction to the Seriesv
  • Contents of the Handbookvii
  • Prefaceix
  • Chapter 10. Arbitrage, State Prices and Portfolio Theory605
  • Abstract606
  • Keywords606
  • 1. Introduction607
  • 2. Portfolio problems607
  • 3. Absence of arbitrage and preference-free results612
  • 4. Various analyses: Arrow–Debreu world618
  • 5. Capital asset pricing model (CAPM)624
  • 6. Mutual fund separation theory629
  • 7. Arbitrage pricing theory (APT)633
  • 8. Conclusion634
  • References634
  • Chapter 11. Intertemporal Asset Pricing Theory639
  • Abstract641
  • Keywords641
  • 1. Introduction642
  • 2. Basic theory642
  • 3. Continuous-time modeling661
  • 4. Term-structure models686
  • 5. Derivative pricing702
  • 6. Corporate securities711
  • References725
  • Chapter 12. Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance743
  • Abstract745
  • Keywords745
  • 1. Introduction746
  • 2. Multifactor asset-pricing models: Review and integration748
  • 3. Modern variance bounds768
  • 4. Methodology and tests of multifactor asset-pricing models774
  • 5. Conditional performance evaluation785
  • 6. Conclusions794
  • References795
  • Chapter 13. Consumption-Based Asset Pricing803
  • Abstract804
  • Keywords804
  • 1. Introduction805
  • 2. International stock market data810
  • 3. The equity premium puzzle816
  • 4. The dynamics of asset returns and consumption832
  • 5. Cyclical variation in the price of risk866
  • 6. Some implications for macroeconomics879
  • References881
  • Chapter 14. The Equity Premium in Retrospect889
  • Abstract890
  • Keywords890
  • 1. Introduction891
  • 2. The equity premium: history891
  • 3. Is the equity premium due to a premium for bearing non-diversifiable risk?899
  • 4. Is the equity premium due to borrowing constraints, a liquidity premium or taxes?921
  • 5. An equity premium in the future?927
  • Appendix A928
  • Appendix B. The original analysis of the equity premium puzzle930
  • References935
  • Chapter 15. Anomalies and Market Efficiency939
  • Abstract941
  • Keywords941
  • 1. Introduction942
  • 2. Selected empirical regularities943
  • 3. Returns to different types of investors956
  • 4. Long-run returns961
  • 5. Implications for asset pricing966
  • 6. Implications for corporate finance968
  • 7. Conclusions970
  • References970
  • Chapter 16. Are Financial Assets Priced Locally or Globally?975
  • Abstract976
  • Keywords976
  • 1. Introduction977
  • 2. The perfect financial markets model978
  • 3. Home bias997
  • 4. Flows, spillovers, and contagion1004
  • 5. Conclusion1014
  • References1014
  • Chapter 17. Microstructure and Asset Pricing1021
  • Abstract1022
  • Keywords1022
  • 1. Introduction1023
  • 2. Equilibrium asset pricing1024
  • 3. Asset pricing in the short-run1025
  • 4. Asset pricing in the long-run1035
  • 5. Linking microstructure and asset pricing: puzzles for researchers1044
  • References1047
  • Chapter 18. A Survey of Behavioral Finance1053
  • Abstract1054
  • Keywords1054
  • 1. Introduction1055
  • 2. Limits to arbitrage1056
  • 3. Psychology1065
  • 4. Application: The aggregate stock market1075
  • 5. Application: The cross-section of average returns1087
  • 6. Application: Closed-end funds and comovement1098
  • 7. Application: Investor behavior1101
  • 8. Application: Corporate finance1106
  • 9. Conclusion1113
  • Appendix A1115
  • References1116
  • Finance, Optimization, and the Irreducibly Irrational Component of Human Behavior1125
  • Chapter 19. Derivatives1129
  • Abstract1131
  • Keywords1131
  • 1. Introduction1132
  • 2. Background1133
  • 3. No-arbitrage pricing relations1139
  • 4. Option valuation1148
  • 5. Studies of no-arbitrage price relations1166
  • 6. Studies of option valuation models1173
  • 7. Social costs/benefits of derivatives trading1189
  • 8. Summary1198
  • References1199
  • Chapter 20. Fixed-Income Pricing1207
  • Abstract1208
  • Keywords1209
  • 1. Introduction1209
  • 2. Fixed-income pricing in a diffusion setting1210
  • 3. Dynamic term-structure models for default-free bonds1215
  • 4. Dynamic term-structure models with jump diffusions1222
  • 5. Dynamic term-structure models with regime shifts1223
  • 6. Dynamic term-structure models with rating migrations1225
  • 7. Pricing of fixed-income derivatives1231
  • References1242
  • Subject Index1247
  • Handbooks in Economics1272
  • Forthcoming Titles1275
Book details
  • Vendor Elsevier S & T
  • SKU 9780444513632
  • ISBN-13 9780080495088
  • Author Constantinides, G.; Stulz, Rene M.; Harris, M.
  • Category Business & Economics
  • Subject Finance

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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.