Labor Hiring, Investment, and Stock Return Predictability in the Cross Section

• 成果类型: Article
• 署名作者: Belo, Frederico; Lin, Xiaoji; Bazdresch, Santiago
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research; University System of Ohio; Ohio State University
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/674549
• 发表日期: 2014
• 页码: 129-177
• 关键词: asset; RISK; demand; shocks

摘要

We study the impact of labor market frictions on asset prices. In the cross section of US firms, a 10 percentage point increase in the firm''s hiring rate is associated with a 1.5 percentage point decrease in the firm''s annual risk premium. We propose an investment-based model with stochastic labor adjustment costs to explain this finding. Firms with high hiring rates are expanding firms that incur high adjustment costs. If the economy experiences a shock that lowers adjustment costs, these firms benefit the most. The corresponding increase in firm value operates as a hedge against these shocks, explaining the lower risk premium of these firms in equilibrium.