Title of article
Production-basedmeasuresofriskforassetpricing$
Author/Authors
Frederico Belo، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2010
Pages
18
From page
146
To page
163
Abstract
A stochasticdiscountfactorforassetreturnsisrecoveredfromequilibriummarginal
ratesoftransformationinferredfromproducers’first-orderconditions.Themarginal
rateoftransformationimpliesanovelmacro-factorassetpricingmodelthatdoesa
reasonablejobexplainingthecross-sectionalvariationinaveragestockreturnswith
plausibleparametervalues.Usingaflexiblerepresentationoffirms’production
technology,producers’abilitytotransformoutputacrossstatesofnatureisestimated
to behigh,incontrastwithwhatistypicallyassumedinstandardaggregate
representationsoffirms’productiontechnology
Keywords
Production-based assetpricingProduction underuncertaintyCross-sectional assetpricingMarginal rateoftransformation
Journal title
Journal of Monetary Economics
Serial Year
2010
Journal title
Journal of Monetary Economics
Record number
846381
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