Production‐Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations
提出一个基于生产的资产定价模型，用生产函数和投资数据推断投资回报，解释股票回报与经济周期的关系，并检验其对未来经济活动的预测能力。
ABSTRACT This paper describes a production‐based asset pricing model. It is analogous to the standard consumption‐based model, but it uses producers and production functions in the place of consumers and utility functions. The model ties stock returns to investment returns (marginal rates of transformation) which are inferred from investment data via a production function. The production‐based model is used to examine forecasts of stock returns by business‐cycle related variables and the association of stock returns with subsequent economic activity.