A labor news hedge portfolio and the cross-section of expected stock returns

被引：2

作者：

Stotz, Olaf ^{[1
]}

机构：

[1] Frankfurt Sch Finance & Management, Adickesallee 32-34, D-60322 Frankfurt, Germany

来源：

JOURNAL OF EMPIRICAL FINANCE | 2018年 / 48卷

关键词：

Labor news model; Fama-French factors; Hedge portfolios; ASSET PRICING-MODELS; INCOME RISK; MARKET EQUILIBRIUM; PERFORMANCE; CHOICE; UNEMPLOYMENT; ANOMALIES; GROWTH; PRICES; TESTS;

D O I：

10.1016/j.jempfin.2018.06.009

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using the relation between the surprise component in labor statistics and an asset's return on labor news announcement days, we derive a labor beta. By adding a labor news hedge portfolio which is long in high labor beta assets and short in low labor beta assets to the market portfolio, we obtain a labor news model. This model describes the cross-section of expected stock returns just as well as or even better than alternative multifactor models. The estimated premium for bearing labor income risk varies between three and five percentage points per annum.

引用

页码：123 / 139

页数：17

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