This paper develops a production based asset pricing model under the assumption of a stochastic discount rate. By solving Tobin's q explicitly, we first show that productivity shocks are the main source of the time-varying behavior of expected asset returns and then derive an equilibrium...

This study applies cointegration tests with time-dependent dummies to assess the impact of the Gulf War on the relationship between the forward exchange rate and the spot exchange rate using the British pound and the Japanese yen in terms of the US dollar. Cointegration of the spot and forward...

We develop a valuation formula for analyzing high growth firms using the stages of an industry lifecycle. Our model is best suited for start-up firms with low (or negative) earnings and low sales. Our formula uses start-up firm data and captures the firm’s growth potential by incorporating...