Title of article :
Production-basedmeasuresofriskforassetpricing$
Author/Authors :
Frederico Belo، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2010
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
Journal title :
Journal of Monetary Economics
