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Using Production Based Asset Pricing to Explain the Behavior of Stock Returns Over the Business Cycle / John H. Cochrane.
- Format:
- Book
- Author/Creator:
- Cochrane, John H.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w3212.
- NBER working paper series no. w3212
- Language:
- English
- Subjects (All):
- Business cycles--Mathematical models.
- Business cycles.
- Economic forecasting--Mathematical models.
- Economic forecasting.
- Economic indicators.
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1989.
- Cambridge, Massachusetts : National Bureau of Economic Research, 1989.
- Summary:
- 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.
- Notes:
- Print version record
- December 1989.
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