Production Based Asset Pricing

金融领域的研究人员最近记录了可预测的 股票价格和风险溢价的变动（收益率高于 无风险利率）的股票和债券，并发现这些 可预测的变动与商业周期密切相关。 然而，一些重要问题仍未得到解答，包括： 是什么导致了这些可预测的运动？ 为什么它们与 商业周期？ 这些事实告诉了我们什么关于 股票市场和商业周期？ 理论框架在 这些问题目前正在解决强调之间的联系 股票收益和消费。 基本上，人们推迟 当股票回报率下降时， 预计会很高。 然而，消费几乎没有变化， 商业周期。 重大变化发生在 就业、投资、库存和生产。 的目的 本课题旨在探索股票与债券之间的理论联系 回报和生产者，并开发一个模型，将股票和债券 回到上面提到的重要的商业周期变量。 最近记录的、可预测的股票回报率变动， 已经被用来争论股票市场是“无效率的”或 它对小事件和谣言反应过度，因此， 需要进行监管改革。 但是，在这一点上，我们不知道什么 一种可预测的股票走势 在一口井的背景下， 市场运作，因此，不可能评估 这个论点的有效性。 这个项目很重要，因为它 会对这个问题有所帮助

Researchers in the area of finance have recently documented predictable movements in stock prices and in risk premiums (rates of return above risk-free interest rates) on stocks and bonds, and found that these predictable movements correlate strongly with business cycles. However, a number of important questions remain unanswered including: What causes these predictable movements? Why are they correlated with business cycles? What do these facts tell us about the behavior of stock markets and about business cycles? The theoretical framework in which these questions are currently addressed stresses the link between stock returns and consumption. Basically, it pays people to defer consumption purchases and invest in the market when stock returns are expected to be high. However, consumption barely changes over the business cycle. The significant changes occur with respect to employment, investment, inventories, and production. The purpose of this project is to exploit the theoretical link between stock and bond returns and producers, and develop a model which links stock and bond returns to the important business cycle variables mentioned above. The recently documented, predictable movements in stock returns have already been used to argue that the stock market is "inefficient" or that it overreacts to small events and rumors, and that, hence, regulatory changes are needed. But, at this point we do not know what kind of predictable movements in stock prices actually do make sense within the context of a well functioning market and, thus, it is impossible to assess the validity of this argument. This project is important because it will shed some light on this issue.