TY  - JOUR
AU  - Cochrane,John H.
TI  - Using Production Based Asset Pricing to Explain the Behavior of Stock Returns Over the Business Cycle
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 3212
PY  - 1992
Y2  - January 1992
UR  - http://www.nber.org/papers/w3212
L1  - http://www.nber.org/papers/w3212.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  - 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 investment 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.
ER  -