An Adjustment Cost Model of Asset Pricing
构建了一个包含调整成本技术的跨期资产定价模型，分析调整成本如何通过影响消费跨期替代来改变资产价格、利率期限结构和风险溢价。
An intertemporal asset-pricing model is constructed incorporating an explicit adjustment-cost technology. The capital stock can be altered by investment, but there are adjustment costs whi ch lower the marginal return of investment. In a model involving an i nfinitely-lived representative agent, it is shown how changes in adju stment costs influence asset prices, the term structure of real inter est rates, and risk premia. The results suggest that adjustment cost, by causing an intertemporal consumption substitution, raises the pri ces of risky stocks and risk premia and reduces long-term real intere st rates. Copyright 1987 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.