John H. Cochrane

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.

Cochrane is President of the American Finance Association, a Research Associate 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.

Cochrane earned a Bachelor’s degree in Physics at MIT, and earned his Ph.D. in Economics at the University of California at Berkeley. He 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.

Selected Publications

Asset Pricing (Princeton University Press, 2004).

---

With Monika Piazzesi, "Bond Risk Premia," American Economic Review 95, 138-160 (2005).

---

"The Risk and Return of Venture Capital," Journal of Financial Economics 75, 3-52 (2005).

---

"Money as Stock," Journal of Monetary Economics 52, 501-528 (2005).

---

With John Y. Campbell, "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," Journal of Political Economy 107, 205-251 (1995).

---