Wage Rigidity: A Quantitative Solution to Several Asset Pricing Puzzles

• 成果类型: Article
• 署名作者: Favilukis, Jack; Lin, Xiaoji
• 署名单位: University of British Columbia; University System of Ohio; Ohio State University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhv041
• 发表日期: 2016
• 页码: 148
• 关键词: cross-section; market value; long-run; LABOR; INVESTMENT; returns; unemployment; habit; RISK; consumption

摘要

In standard production models, wage volatility is far too high, and equity volatility is far too low. A simple modification-sticky wages because of infrequent resetting together with a constant elasticity of substitution (CES) production function leads to both smoother wages and higher equity volatility. Further, the model produces several other hard-to-explain features of financial data: high Sharpe ratios, low and smooth interest rates, time-varying equity volatility and premium, a value premium, and a downward-sloping equity term structure. Procyclical, volatile wages are a hedge for firms in standard models; smoother wages act like operating leverage, making profits and dividends riskier.