A Labor Capital Asset Pricing Model
نویسندگان
چکیده
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 frictions. In the model, loadings on labor market tightness proxy for priced time variation in the efficiency of the matching technology. Firms with low loadings are not hedged against adverse matching efficiency shocks and require higher expected stock returns. JEL Classification: E24, G12, J21
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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 ...
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