Production-based measures of risk for asset pricing

• 成果类型: Article
• 署名作者: Belo, Frederico
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2009.12.001
• 发表日期: 2010
• 页码: 146-163
• 关键词: Production-based asset pricing; Production under uncertainty; Cross-sectional asset pricing; Marginal rate of transformation

摘要

A stochastic discount factor for asset returns is recovered from equilibrium marginal rates of transformation inferred from producers' first-order conditions. The marginal rate of transformation implies a novel macro-factor asset pricing model that does a reasonable job explaining the cross-sectional variation in average stock returns with plausible parameter Values. Using a flexible representation of firms' production technology, producers' ability to transform output across states of nature is estimated to be high, in contrast with what is typically assumed in standard aggregate representations of firms' production technology. (C) 2009 Elsevier B.V. All rights reserved.