منابع مشابه
A Labor Capital Asset Pricing Model
We show that labor search frictions are an important determinant of the cross-section of equity returns. In the data, sorting firms by loadings on labor market tightness, the key statistic of search models, generates a spread in future returns of 6% annually. We propose a partial equilibrium labor market model in which heterogeneous firms make optimal employment decisions under labor search fri...
متن کاملInternet Appendix to : A Labor Capital Asset Pricing Model ∗
In the paper, we use three years of monthly data to compute loadings on the labor market tightness factor. We now evaluate robustness of our results to different beta estimation horizons. In Table IA.I, we estimate betas using 24, 48, or 60 months of data and otherwise do not modify our empirical methods. For all considered horizons, the differences in future performance of portfolios with low ...
متن کاملA Two State Capital Asset Pricing Model
A famous model in nancial theory is the Capital Asset Pricing Model (CAPM). In this paper we propose a two state CAPM in which we assume that excess returns for the market and for a particular security are bivariate normally distributed. The parameters of the distribution are determined by the state of an unobserved stationary Markov chain. Two states represent two business regimes that are cha...
متن کاملThe Consumption - Based Capital Asset Pricing Model
Arrow-Debreu Existence Result Let K be a normed vector lattice with positive cone K+ (see Schaefer (1974)). We consider an Arrow-Debreu (pure exchange) economy 9'= (?, e') in K, with m agents described by preference relations > i on K+ and initial endowments e' E K+. Throughout, we make the usual assumptions on preferences: each >i is reflexive, transitive, complete, convex, continuous, and str...
متن کاملAn Intertemporal Capital Asset Pricing Model
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ژورنال
عنوان ژورنال: The Journal of Finance
سال: 2017
ISSN: 0022-1082
DOI: 10.1111/jofi.12504