Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations

Abstract
This paper describes a production-based asset pricing model that uses producers and production functions in the place of consumers and utility functions. This model is used to examine forecasts of stock returns by business-cycle related variables and the association of stock returns with subsequent economic activity
Volume
46
Page
209-237
Year
1991
Categories
Financial and Statistical Methods
Asset and Econometric Modeling
Actuarial Applications and Methodologies
Valuation
Publications
Journal of Finance
Authors
John Cochrane