ON STOCK-MARKET RETURNS AND RETURNS ON INVESTMENT

This article presents general conditions under which it is possible to obtain asset pricing relations from the intertemporal optimal investm ent decision of the firm. Under the assumption of linear homogeneous p roduction and adjustment cost functions (the Hayashi (1982) conditions ), it is possible to establish, state by state, the equality between t he return on investment and the market return of the financial claims issued by the firm. This result proves to be, in essence, robust to th e consideration of very general constraints on investment and the incl usion of taxes.