Production Based Asset Pricing

金融领域的研究人员最近记录了股票价格以及股票和债券的风险溢价(高于无风险利率的回报率)的可预测变动，并发现这些可预测的变动与商业周期密切相关。然而，一些重要的问题仍然没有得到回答，包括：是什么导致了这些可预测的变动？为什么它们与商业周期相关？关于股市和商业周期的行为，这些事实告诉了我们什么？目前解决这些问题的理论框架强调股票回报和消费之间的联系。基本上，人们推迟消费购买，在预期股票回报高的时候投资市场，这是有好处的。然而，消费在整个商业周期中几乎没有变化。在就业、投资、库存和生产方面发生了重大变化。这个项目的目的是探索股票和债券收益与生产者之间的理论联系，并开发一个将股票和债券收益与上述重要商业周期变量联系起来的模型。最近记录在案的、可预测的股票回报变动已经被用来辩称，股市“效率低下”，或者对小事件和谣言反应过度，因此需要监管改革。但是，在这一点上，我们不知道在一个运转良好的市场背景下，什么样的可预测的股价波动实际上是有意义的，因此，不可能评估这一论点的有效性。这个项目很重要，因为它将为这个问题提供一些启示。

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.