English, Article, Journal or magazine article edition: Using Production Based Asset Pricing to Explain the Behavior of Stock Returns Over the Business Cycle John H. Cochrane

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Bookmark: http://trove.nla.gov.au/version/140834
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Using Production Based Asset Pricing to Explain the Behavior of Stock Returns Over the Business Cycle
Author
  • John H. Cochrane
Physical Description
  • preprint
Notes
  • The investment return is defined as the real return that results from marginally increasing investment at date r, and then reaping the extra output and decreasing investment at date t+1 to leave the production plan for other dates unchanged. This paper constructs inveatment returns from investment data and a production function, and compares investment returns to stock returns, in order to explain forecasts of stock returns by business cycle related variables, and to explain forecasts of future economic activity by stock returns.
  • RePEc:nbr:nberwo:3212
Language
  • English
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