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
收藏
页码：123 / 139
页数：17
相关论文
共 50 条
  • [31] Expectations and the cross-section of stock returns
    LaPorta, R
    JOURNAL OF FINANCE, 1996, 51 (05): : 1715 - 1742
  • [32] The cross-section of expected stock returns: Further evidence from Hong Kong
    Cheung, JK
    Chung, R
    Kim, JB
    RESEARCH IN FINANCE, SUPPLEMENT 2, 1996, 1996, (SUPPL): : 203 - 219
  • [33] Book-to-Market and the Cross-Section of Expected Returns in International Stock Markets
    Bali, Turan G.
    Cakici, Nusret
    Fabozzi, Frank J.
    JOURNAL OF PORTFOLIO MANAGEMENT, 2013, 39 (02): : 101 - 115
  • [34] Alternative profitability measures and cross-section of expected stock returns: international evidence
    Nusret Cakici
    Sris Chatterjee
    Yi Tang
    Lin Tong
    Review of Quantitative Finance and Accounting, 2021, 56 : 369 - 391
  • [35] Seasonality in the cross-section of stock returns
    Heston, Steven L.
    Sadka, Ronnie
    JOURNAL OF FINANCIAL ECONOMICS, 2008, 87 (02) : 418 - 445
  • [36] Mispricing and the cross-section of stock returns
    Chen C.R.
    Lung P.P.
    Wang F.A.
    Review of Quantitative Finance and Accounting, 2009, 32 (4) : 317 - 349
  • [37] The effects of intrigue, liquidity, imprecision, and bias on the cross-section of expected stock returns
    Haugen, RA
    JOURNAL OF PORTFOLIO MANAGEMENT, 1996, 22 (04): : 8 - &
  • [38] Fundamental variables and the cross-section of expected stock returns: the case of Hong Kong
    Lam, HYT
    Spyrou, SI
    APPLIED ECONOMICS LETTERS, 2003, 10 (05) : 307 - 310
  • [39] The Cross-Section of Expected Stock Returns: New Evidence from an Emerging Market
    Thach Ngoc Pham
    Vuong Minh Nguyen
    Duc Hong Vo
    EMERGING MARKETS FINANCE AND TRADE, 2018, 54 (15) : 3566 - 3576
  • [40] Return range and the cross-section of expected index returns in international stock markets
    Umutlu, Mehmet
    Bengitoz, Pelin
    QUANTITATIVE FINANCE AND ECONOMICS, 2021, 5 (03): : 421 - 451
12345