Labor-Force Heterogeneity and Asset Prices: The Importance of Skilled Labor

• 成果类型: Article
• 署名作者: Belo, Frederico; Li, Jun; Lin, Xiaoji; Zhao, Xiaofei
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research; University of Texas System; University of Texas Dallas; University System of Ohio; Ohio State University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx070
• 发表日期: 2017
• 页码: 3669
• 关键词: STOCK RETURNS; equilibrium-model; adjustment costs; wage rigidity; cross-section; VALUE PREMIUM; INVESTMENT; RISK; shocks; firm

摘要

Previous studies have identified a negative relation between firms' hiring rates and future stock returns in the cross-section. We document that this relation is significantly steeper in industries that rely relatively more on high-skill workers than low-skill workers. A long-short portfolio sorted on firm-level hiring rate earns an average annual return of 8.6% in high-skill industries, and only 0.9% in low-skill industries. Moreover, this pattern is not explained by the standard CAPM. These findings are consistent with a neoclassical model with labor force heterogeneity and labor market frictions if it is more costly to replace high-skill than low-skill workers.