کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
966626 931088 2010 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Production-based measures of risk for asset pricing
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Production-based measures of risk for asset pricing
چکیده انگلیسی

A stochastic discount factor for asset returns is recovered from equilibrium marginal rates of transformation inferred from producers’ first-order conditions. The marginal rate of transformation implies a novel macro-factor asset pricing model that does a reasonable job explaining the cross-sectional variation in average stock returns with plausible parameter values. Using a flexible representation of firms’ production technology, producers’ ability to transform output across states of nature is estimated to be high, in contrast with what is typically assumed in standard aggregate representations of firms’ production technology.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Monetary Economics - Volume 57, Issue 2, March 2010, Pages 146–163
نویسندگان
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