Rating: 
Summary: Cut and Paste
Review: As mentioned by another reviewer, it seems like there is a lot of cut and pasted material from better texts.
This book might be good for advanced undergrad/first year grad intro to emperical Finance, but it is not anywhere near Duffie. It does not offer sound quantitative proofs
I like Duffie, and don't like this book at all. You might find the GMM stuff a little useful.
Rating:
Summary: Pretentious
Review: Book is simply the cutting and pasting from other sources. It is poorly exposited and the language is too chatty to be relevant to serious scientists.
Rating: 
Summary: Model Textbook
Review: Cochrane has written the model for a bad textbook. The elements include recycled material, the absence of clarifying narrative, and the absence of applications. This book has no real world sample problems and therefore no real world solutions. There is no evidence in this textbook to suggest the author is capable of solving real world finance problems. It's a mystery how students are supposed to learn asset pricing from this text. There is no value added in presenting well-worn equations with zero interpretation. This book is weakened by presenting old theory with no useful discourse.
Rating: 
Summary: Awesome
Review: I am a bit baffled by the negative reviews of this book. There is a very nice blend of theory and empirics. The writing style is that of an entertaining lecture - a boon for those of us who don't get to listen to John Cochrane every week. I like the connections drawn between asset pricing and macroeconomics (in fact I would have liked to hear more of Cochrane's thoughts here). The emphasis on the unifying stochastic discount factor framework gives the reader a good way to look at what would otherwise appear to be a number of different pricing theories. (This recalls Feynman's lectures on statistical mechanics where he points out that everything is a special case of the canonical distribution). Cochrane's chat about open problems, puzzles, anomolies, and warnings gives the reader helpful hints or ideas to examine. Once again, I am totally baffled by the negative reviews here.
Rating:
Summary: Typos
Review: I don't think most of this people who reviewed this book actually read this book. Surely, if they had, they'd have mentioned the unbelievable number of typos that plague this book. There is a typo or math mistake on practically every page. I'm not kidding. When this book is released in another edition, everyone who bought the first edition should get the new edition free. Excluding mistakes, though, I'd give the book five stars.
Rating:
Summary: Sophisticated yet easy to understand
Review: I have read the manuscripts of this book. The approach is a unified one for all asset pricing. While the method is sophisticated, the author presented it in a very easy-to-understand way with detailed explanation on the derivation of the equations. Highly recommended for those who like to know more about up-to-date method of asset pricing. It will also help those who specialise in macroeconomics.
Rating:
Summary: Extremely useful for economists
Review: Like some others, I am puzzled by the negative reviews. I have owned Cochrane's book since it came out and have learned much from it and refer to it often. Finance people interested only in derivative pricing, the intricacies of stochastic differential equations, etc., probably won't find what they want here (although these topics are fitted into the overall framework). But for economists looking for links between finance and the rest of economics and econometrics there is a lot here (and a lot that isn't in, for example, Duffie).
The typos are a problem, but errata are available on the web.
Rating:
Summary: OK depending on who you are
Review: Not of much use to the professional finance person.
Should put out free erata with book.
Liked APT treatment.
Fine for very theoretical readers,
who are already familiar with material.
Rating:
Summary: Don't test my patience.
Review: Sorry to the author.
But I do want to ask him if he knows what he has written down.
Or at least I wonder if he wants the readers to understand his book. I spent a lot of time for this book.
Even after finance class with this book as a textbook
and even after reading some other materials,
I am still saying to myself "what the xxxx is going on?" whenever I read this book. (I don't mean some arithmatics used there) Some reviewers said that it would depend on who you are. Really? I think I finished enough courses in statistics, economics, finance, and mathematics. And some of them are Ph.D level.
Do I need stronger backgound to understand?
Or Do I have to skip so many paragraghs in every pages?
So many typos? Anything conceptual?
Rating:
Summary: Table of content
Review: TABLE OF CONTENTS: Acknowledgments v Preface xiii Part I. Asset Pricing Theory 3 1 Consumption-Based Model and Overview 5 2 Applying the Basic Model 37 3 Contingent Claims Markets 51 4 The Discount Factor 63 5 Mean-Variance Frontier and Beta Representations 79 6 Relation between Discount Factors, Betas, and Mean-Variance Frontiers 101 7 Implications of Existence and Equivalence Theorems 123 8 Conditioning Information 133 9 Factor Pricing Models 149 Part II. Estimating and Evaluating Asset Pricing Models 185 10 GMM in Explicit Discount Factor Models 189 11 GMM: General Formulas and Applications 201 12 Regression-Based Tests of Linear Factor Models 229 13 GMM for Linear Factor Models in Discount Factor Form 253 14 Maximum Likelihood 265 15 Time Series, Cross-Section, and GMM/DF Tests of Linear Factor Models 277 Part III. Bonds and Options 307 17 Option Pricing 311 18 Option Pricing without Perfect Replication 325 19 Term Structure of Interest Rates 347 Part IV. Empirical Survey 383 20 Expected Returns in the Time Series and Cross Section 387 21 Equity Premium Puzzle and Consumption-Based Models 455 Part V. Appendix 487 Appendix. Continuous Time 489 A.1 Brownian Motion 489 A.2 Diffusion Model 491 A.3 Ito's Lemma 494 Problems 495 References 497 Author Index 511 Subject Index 515
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