A Labor Capital Asset Pricing Model

• 成果类型: Article
• 署名作者: Kuehn, Lars-Alexander; Simutin, Mikhail; Wang, Jessie Jiaxu
• 署名单位: Carnegie Mellon University; University of Toronto; Arizona State University; Arizona State University-Tempe
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12504
• 发表日期: 2017
• 页码: 2131-2178
• 关键词: expected stock returns; cross-section; equilibrium unemployment; cyclical behavior; search frictions; Wage stickiness; job destruction; MARKET SEARCH; INVESTMENT; shocks

摘要

We show that labor search frictions are an important determinant of the cross-section of equity returns. Empirically, we find that firms with low loadings on labor market tightness outperform firms with high loadings by 6% annually. We propose a partial equilibrium labor market model in which heterogeneous firms make dynamic employment decisions under labor search frictions. In the model, loadings on labor market tightness proxy for priced time-variation in the efficiency of the aggregate matching technology. Firms with low loadings are more exposed to adverse matching efficiency shocks and require higher expected stock returns.