John H. Cochrane
AQR Capital Management Professor of Finance
Booth School of Business, University of Chicago, USA
Main Topics:
- Dynamics in stock and bond markets, the volatility of exchange rates, the term structure of interest rates, the returns to venture capital, liquidity premiums in stock prices, the relation between stock prices and business cycles, option pricing when investors can’t perfectly hedge, and monetary economics including the fiscal theory of the price level.
Professional Profile:
John H. Cochrane is the AQR Capital Management Professor of Finance at the University of Chicago Booth School of Business. His recent finance publications include the book Asset Pricing, and articles on dynamics in stock and bond markets, the volatility of exchange rates, the term structure of interest rates, the returns to venture capital, liquidity premiums in stock prices, the relation between stock prices and business cycles, and option pricing when investors can’t perfectly hedge. His monetary economics publications include articles on the effects of monetary policy, and on the fiscal theory of the price level. He has also written articles on macroeconomics, health insurance, and other topics.
Professor Cochrane is President-elect of the American Finance Association, a Research of the National Bureau of Economic Research and past director of its asset pricing program, a Fellow of the Econometric Society, and an Adjunct Scholar of the CATO institute.
He has been an Editor of the Journal of Political Economy, and associate editor of several journals including the Journal of Monetary Economics, Journal of Business, and Journal of Economic Dynamics and Control.
Recent awards include the TIAA-CREF Institute Paul A. Samuelson Award for his book Asset Pricing, the Chookaszian Endowed Risk Management Prize, and the Faculty Excellence Award for MBA teaching.
Professor Cochrane was at the Economics Department of the University of Chicago before joining the Booth School in 1994, and visited UCLA Anderson School of Management in 2000-2001. In addition to research and teaching, Cochrane is a competition sailplane pilot and windsurfer. He lives in Chicago with his wife Elizabeth Fama and children Sally, Eric, Gene and Lydia.
Education:
- University of California, Berkeley. Ph.D. in Economics, awarded in June 1986 , USA
- 1975-1979: MIT. S.B. in Physics, awarded in June 1979, Boston, USA
Selected Works:
- Lehman and the Financial Crisis, Wall Street Journal, open with Luigi Zingales (September 15 2009).
- Asset Pricing (Princeton University Press, 2004).
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