Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

Production‐Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations

Production‐Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations ABSTRACT This 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 activity. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Finance Wiley

Production‐Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations

The Journal of Finance , Volume 46 (1) – Mar 1, 1991

Loading next page...
 
/lp/wiley/production-based-asset-pricing-and-the-link-between-stock-returns-and-bie7vyfdG4

References (42)

Publisher
Wiley
Copyright
1991 The American Finance Association
ISSN
0022-1082
eISSN
1540-6261
DOI
10.1111/j.1540-6261.1991.tb03750.x
Publisher site
See Article on Publisher Site

Abstract

ABSTRACT This 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 activity.

Journal

The Journal of FinanceWiley

Published: Mar 1, 1991

There are no references for this article.