search query: @author Cochrane, J. / total: 4
reference: 3 / 4
| Author: | Cochrane, J. |
| Title: | A cross-sectional test of an investment-based asset pricing model |
| Journal: | Journal of Political Economy
1996 : JUN, VOL. 104:3, p. 572-621 |
| Index terms: | ECONOMIC CONDITIONS POLITICS INVESTMENT |
| Language: | eng |
| Abstract: | The author examines a factor pricing model for stock returns. The factors are returns on physical investment data via a production function. The author examines the model's ability to explain variation in expected returns across assets and over time. The model is not rejected. It performs about as well as the CAPM and the Chen, Roll and Ross factor model, and it performs substantially better than a simple consumption-based model. |
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