Microfoundations of Financial Economics: An Introduction to General Equilibrium Asset Pricing (Princeton Series in Finance) - Hardcover

Lengwiler, Yvan

Hardcover

ISBN 10: 0691113157 ISBN 13: 9780691113159

Publisher: Princeton University Press, 2004

Synopsis

This textbook takes the reader from the level of microeconomics principles through to modern asset pricing theory. Yvan Lengwiler elegantly links together issues that have in the past been the territory of general economic theorists on the one hand, and financial economists on the other.

In a sequence of carefully explained steps, the reader learns how the first welfare theorem is used in asset pricing theory. The book then moves on to explore Radner economies and von Neumann-Morgenstern decision theory, and this section culminates in Wilson's mutuality principle and the consumption-based CAPM. This is then put into a dynamic setting, and term structure models are introduced. The empirical shortcomings of the standard asset pricing models are extensively discussed, as is research from the last twenty years aimed at bringing theory in line with reality. The reader is brought up to date on the latest areas of concern, such as habit formation, the consequences of heterogeneity, demographic effects, changing tax regimes, market frictions, and the implications of prospect theory for asset pricing.

Aimed at masters or Ph.D. students specializing in financial economics, the book can also be used as a supplementary text for students of macroeconomics at this advanced level and will be of interest to finance professionals with a background in economics and mathematics. It includes problems (with solutions), and an accompanying website provides supporting material for lecturers.

About this title

From the Back Cover:

"A tour de force. Yvan Lengwiler's book provides a valuable structure around an area that professors struggle to cover in an integrated way."--Elroy Dimson, London Business School, co-author ofTriumph of the Optimists

About the Author:

Yvan Lengwiler is Professor of Economics at the University of Basel. He has published articles on general equilibrium theory, asset pricing, and auction theory in the American Economic Review, Economic Theory, the Journal of Monetary Economics, and other publications.

About this edition

• Publisher: Princeton University Press
• Publication date: 2004
• ISBN 10: 0691113157
• ISBN 13: 9780691113159
• Binding: Hardcover
• Number of pages: 320