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The Paradox of Asset Pricing (Frontiers of Economic Research), by Peter Bossaerts
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Asset pricing theory abounds with elegant mathematical models. The logic is so compelling that the models are widely used in policy, from banking, investments, and corporate finance to government. To what extent, however, can these models predict what actually happens in financial markets? In The Paradox of Asset Pricing, a leading financial researcher argues forcefully that the empirical record is weak at best. Peter Bossaerts undertakes the most thorough, technically sound investigation in many years into the scientific character of the pricing of financial assets. He probes this conundrum by modeling a decidedly volatile phenomenon that, he says, the world of finance has forgotten in its enthusiasm for the efficient markets hypothesis--speculation.
Bossaerts writes that the existing empirical evidence may be tainted by the assumptions needed to make sense of historical field data or by reanalysis of the same data. To address the first problem, he demonstrates that one central assumption--that markets are efficient processors of information, that risk is a knowable quantity, and so on--can be relaxed substantially while retaining core elements of the existing methodology. The new approach brings novel insights to old data. As for the second problem, he proposes that asset pricing theory be studied through experiments in which subjects trade purposely designed assets for real money. This book will be welcomed by finance scholars and all those math--and statistics-minded readers interested in knowing whether there is science beyond the mathematics of finance.
This book provided the foundation for subsequent journal articles that won two prestigious awards: the 2003 Journal of Financial Markets Best Paper Award and the 2004 Goldman Sachs Asset Management Best Research Paper for the Review of Finance.
- Sales Rank: #1900909 in Books
- Brand: Brand: Princeton University Press
- Published on: 2002-02-10
- Original language: English
- Number of items: 1
- Dimensions: .77" h x 6.46" w x 9.56" l, 1.01 pounds
- Binding: Hardcover
- 192 pages
- Used Book in Good Condition
Review
"An important and timely book, [it] offers a fresh look at what the efficient markets hypothesis really implies."
Review
This book, whose rousing style drew me in immediately, is remarkable in how well it is able honestly to convey the core of modern finance theory and then to go on to criticize it fairly.
(Thomas Sargent, Stanford University, Hoover Institution )
From the Inside Flap
"This book, whose rousing style drew me in immediately, is remarkable in how well it is able honestly to convey the core of modern finance theory and then to go on to criticize it fairly."--Thomas Sargent, Stanford University, Hoover Institution
"An important and timely book, The Paradox of Asset Pricing offers a fresh look at what the efficient markets hypothesis really implies. Summarizing forty years of asset pricing tests, it compels researchers to think deeply about what they are doing."--Bernt Arne Odegaard, Norwegian School of Management, Central Bank of Norway
Most helpful customer reviews
6 of 7 people found the following review helpful.
Serious Finance
By Qualified opinion
This book and John Cochrane's "asset pricing" complement each other very well. Bossaerts discuss extremely important and overlooked issues in asset pricing theory and empirics in a very compelling way.
As a practitioner with an advanced degree, i found it a valuable read, and recomend "the paradox" to any serious finance practitioner or graduate student.
Let me end quoting the book (p.84):
"Asset pricing theory is both elegant and logically compelling. It is a nice piece of applied mathematics. But this is not suficient to conclude that it has scientic merit. To establish the latter, its predictions need to be verified in a variety of contexts."
Couldn't agree more.
2 of 2 people found the following review helpful.
A Feast of Deep and Rigorous Economic Thoughts
By Yuchen Luo
This book of Professor Bossaerts is a feast of deep and rigorous economic thoughts. It is more than worth the time to read it and the money to buy it.
1. It is pure joy to read this book. It takes an expert to deliver technical contents in plain language without the lost of vigor, and a master to make it succinct, and yet a grand master to make it interesting. In the case of this book, the language is captive and the logic is vigorous and easy to follow.
2. The scientific attitude toward research is refreshing. A large number of the models in academic finance have no predictive power, however well they `explain' historical data. Statistically speaking, it simply means that these models do not hold much water. However, few people are willing to say that. Professor Bossaerts says that. Not only does he say that, he suggests the use of experiments (and he did use experiments), which is only natural for a scientist.
3. The author proposes the `Efficient Learning Models' to replace the Efficient Market Hypothesis. With a technically small modification of the Efficient Market Hypothesis, Efficient Learning Models achieves substantially better empirical performance. For a brand new, fledgling model, it is a sign of promise.
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