 Intertemporal production and asset pricing: a duality approachH. Youn Kim Oxford Economic Papers, 2003, vol. 55, issue 2, 344-379 Abstract: This paper analyzes a firm's intertemporal optimization problem under uncertainty and presents a new asset pricing model from the vantage point of the production side of the economy using the duality principle. The intertemporal profit-maximization problem is formulated using the familiar cost function, and the production Euler equation that encapsulates the joint behavior of production and asset returns is derived. An asset's risk is measured by its covariance with the stochastic discount factor represented by the ratio of discounted marginal costs. The risk premium is determined by the conditional covariances of asset returns with output growth scaled by the degree of scale economies and with input price changes weighted by the cost share of an input. The proposed model has the standard structure of a multibeta pricing model and suggests four economic risk factors--output growth, the return on human capital, the return on physical capital, and technology shocks--for use in empirical analysis. Copyright 2003, Oxford University Press. Date: 2003 There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:oup:oxecpp:v:55:y:2003:i:2:p:344-379 Ordering information: This journal article can be ordered from Access Statistics for this article Oxford Economic Papers is currently edited by James Forder and Francis J. Teal More articles in Oxford Economic Papers from Oxford University Press Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK. |
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