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A pure production-based asset pricin...

Belo, Frederico.

A pure production-based asset pricing model.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	A pure production-based asset pricing model.
作者:	Belo, Frederico.
面頁冊數:	51 p.
附註:	Adviser: John H. Cochrane.
附註:	Source: Dissertation Abstracts International, Volume: 67-09, Section: A, page: 3522.
Contained By:	Dissertation Abstracts International67-09A.
標題:	Economics, Finance.
電子資源:	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.
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