TY  - JOUR
AU  - Cochrane,John H.
TI  - Production Based Asset Pricing
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 2776
PY  - 1988
Y2  - November 1988
UR  - http://www.nber.org/papers/w2776
L1  - http://www.nber.org/papers/w2776.pdf
N1  - Author contact info:
John H. Cochrane
Booth School of Business
University of Chicago
5807 S. Woodlawn
Chicago, IL  60637
Tel: 773/702-3059
Fax: 773/702-0458
E-Mail: john.cochrane@chicagobooth.edu
AB  - This paper exploits producer's first order conditions to link asset prices to data on investment, output, etc. through marginal rates of transformation, just as consumer's first order conditions are commonly used to link asset prices to consumption data or proxies through marginal rates of substitution. It presents simulation economies analogous to the consumption based models of Mehra and Prescott (1985) and Backus, Gregory and Ziri (1986) that capture the size of the equity premium and the size and cyclical timing of the forward rate term premium
ER  -