Production‐Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations
作者:
JOHN H. COCHRANE,
期刊:
The Journal of Finance
(WILEY Available online 1991)
卷期:
Volume 46,
issue 1
页码: 209-237
ISSN:0022-1082
年代: 1991
DOI:10.1111/j.1540-6261.1991.tb03750.x
出版商: Blackwell Publishing Ltd
数据来源: WILEY
摘要:
ABSTRACTThis paper describes a production‐based asset pricing model. It is analogous to the standard consumption‐based model, but it uses producers and production functions in the place of consumers and utility functions. The model ties stock returns to investment returns (marginal rates of transformation) which are inferred from investment data via a production function. The production‐based model is used to examine forecasts of stock returns by business‐cycle related variables and the association of stock returns with subsequent economic a
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