Advertisement

Financial Markets and Portfolio Management

, Volume 30, Issue 3, pp 367–369 | Cite as

Claus Munk: Financial Asset Pricing Theory

Oxford University Press, 2013, 600 pages, approx. £75
  • Igor PozdeevEmail author
Book Review
  • 317 Downloads

Asset pricing, arguably the very essence of academic finance, emerged rather late as a separate field. Results documented by many researchers, including Markowitz, Sharpe, Lintner and Mossin, Black and Scholes, and Fama and French, were long treated as distinct phenomena and referenced in books on investment decision theory, corporate finance, and derivatives pricing. There was no unified framework until the stochastic discount factor (SDF) was introduced and put into the basic relation “price equals discounted payoff.” Asset pricing brought utility theory under the same roof with the many pricing approaches developed earlier. Because of its recent emergence and somewhat technical and abstract content, the field has seen only a few books, the most prominent being Cochrane (2001) and Back (2010). These books target Ph.D. students and academics and differ in the rigor of mathematical apparatus and coverage of empirical methods. Munk (2013), with elaborate derivations, extensive...

Copyright information

© Swiss Society for Financial Market Research 2016

Authors and Affiliations

  1. 1.Swiss Institute of Banking and FinanceSt. GallenSwitzerland

Personalised recommendations