國立高雄大學圖資館 |

Language: English

Back

A pure production-based asset pricin...

Belo, Frederico.

A pure production-based asset pricing model.

Record Type:	Electronic resources : Monograph/item
Title/Author:	A pure production-based asset pricing model.
Author:	Belo, Frederico.
Description:	51 p.
Notes:	Adviser: John H. Cochrane.
Notes:	Source: Dissertation Abstracts International, Volume: 67-09, Section: A, page: 3522.
Contained By:	Dissertation Abstracts International67-09A.
Subject:	Economics, Finance.
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3231379
ISBN:	9780542854293

A pure production-based asset pricing model.
Belo, Frederico.

A pure production-based asset pricing model. - 51 p.

Adviser: John H. Cochrane.

Thesis (Ph.D.)--The University of Chicago, 2006.

I estimate an asset pricing model based on operating marginal rates of transformation of output across states of nature, inferred from the producers' first order conditions. I show that the marginal rate of transformation, a function of macroeconomic production variables such as output and labor, captures the risk of an asset well and is able to explain the tradeoff between risk and return reflected in the size and value premia. The model also compares well with other asset pricing models, including the Fama-French (1993) three factor model.

ISBN: 9780542854293Subjects--Topical Terms:

212585
Economics, Finance.

A pure production-based asset pricing model.
LDR:01456nmm _2200253 _450 001 180653
005 20080111103807.5
008 090528s2006 eng d
020 $a 9780542854293
035 $a 00311678
040 $a UMI $c UMI
100 0 $a Belo, Frederico. $3 264232
245 1 2 $a A pure production-based asset pricing model.
300 $a 51 p.
500 $a Adviser: John H. Cochrane.
500 $a Source: Dissertation Abstracts International, Volume: 67-09, Section: A, page: 3522.
502 $a Thesis (Ph.D.)--The University of Chicago, 2006.
520 # $a I estimate an asset pricing model based on operating marginal rates of transformation of output across states of nature, inferred from the producers' first order conditions. I show that the marginal rate of transformation, a function of macroeconomic production variables such as output and labor, captures the risk of an asset well and is able to explain the tradeoff between risk and return reflected in the size and value premia. The model also compares well with other asset pricing models, including the Fama-French (1993) three factor model.
590 $a School code: 0330.
650 # 0 $a Economics, Finance. $3 212585
690 $a 0508
710 0 # $a The University of Chicago. $3 212422
773 0 # $g 67-09A. $t Dissertation Abstracts International
790 $a 0330
790 1 0 $a Cochrane, John H., $e advisor
791 $a Ph.D.
792 $a 2006
856 4 0 $u http://libsw.nuk.edu.tw:81/login?url=http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3231379 $z http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3231379