Production Based Asset Pricing
Production Based Asset Pricing
复制标题
基于生产的资产定价
DOI：
10.3386/w2776
复制
发表时间：
1988
期刊：
影响因子：
--
通讯作者：
J. Cochrane
中科院分区：
文献类型：
--
作者：
J. Cochrane
This paper exploits producer's first order conditions to link asset prices to data on investment, output, etc. through marginal rates of transformation, just as consumer's first order conditions are commonly used to link asset prices to consumption data or proxies through marginal rates of substitution. It presents simulation economies analogous to the consumption based models of Mehra and Prescott (1985) and Backus, Gregory and Ziri (1986) that capture the size of the equity premium and the size and cyclical timing of the forward rate term premium
影响因子：
6.1
作者：
HANSEN, LP;RICHARD, SF
通讯作者：
RICHARD, SF