A Survey of Production-Based CAPM
Tinbergen Institute; VU University Amsterdam
November 2, 2011
This paper surveys Production-based CAPM since Cochrane (1991), which first proposed PCAPM following the inner logic of CCAPM. With different foci, scholars developed several asset pricing models from the production-side economy, which can be classified into 3 categories: Investment-based CAPM, Productivity-based CAPM, Pure Production-based CAPM. Also, this survey includes empirical research as well as economic theory.
Number of Pages in PDF File: 16
Keywords: Consumption-based CAPM, Production-based CAPM
JEL Classification: B41, E23, G12
Date posted: November 6, 2011