Internet Appendix to : A Labor Capital Asset Pricing Model ∗
نویسندگان
چکیده
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 and high labor market tightness loadings remain economically and statistically significant.
منابع مشابه
Internet Appendix to “Labor Mobility: Implications for Asset Pricing”∗
0 = (1−α)x αδ 1−αδ + c0v(x)+ c1xv(x)+ c2xv(x), (IA.2) ∗Citation format: Donangelo, Andres, Internet Appendix to “Labor Mobility: Implications for Asset Pricing,” Journal of Finance [DOI STRING]. Please note: Wiley-Blackwell is not responsible for the content or functionality of any supporting information supplied by the authors. Any queries (other than missing material) should be directed to th...
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