productionnotes101711 哈佛大学博士资产定价课件（Harvard University PhD Asset Pricing Lecture Notes）.pdfVIP

Ec2723, Asset Pricing I Class Notes, Fall 2011 Production-Based Asset Pricing John Y. Campbell1 First draft: October 17, 2011 1 Department of Economics, Littauer Center, Harvard University, Cambridge MA 02138, USA. Email john_campbell@harvard.edu. Q theory and investment returns Cochrane (1991, 1996) introduces the idea of investment returns, deÖned as the returns generated by a Örmís investment decision. For these returns to show in- teresting variation, there must be some combination of volatile sales-capital ratios, volatile investment-capital ratios, and adjustment costs in investment. For example, following the notation of Liu, Whited, and Zhang (2009), consider a Örm producing with constant-returns Cobb-Douglas technology and proÖt function Yt = K t t ; Kt where is the capital share. The capital stock follows K = I + (1 )K : t+1 t t There are also adjustment costs in investment, taken as a deduction from proÖts as in Lucas (1967): = a It 2 K : t t 2 Kt Because adjustment costs must be paid before the Örm can pay a dividend, we have D = (1 )[ ] I + B (1 + RB )B + K + RB B : t t t t t+1 t t t t t Here taxes are paid on proÖts after subtracting adjustment costs. The Örm