Industry-Specific Human Capital, Idiosyncratic Risk, and the Cross-Section of Expected Stock Returns

• 成果类型: Article
• 署名作者: Eiling, Esther
• 署名单位: University of Toronto
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2012.01794.x
• 发表日期: 2013
• 页码: 43-84
• 关键词: asset pricing-models; Market equilibrium; portfolio choice; LABOR-INCOME; volatility; heteroskedasticity; investors; prices; puzzle; tests

摘要

Human capital is one of the largest assets in the economy and in theory may play an important role for asset pricing. Human capital is heterogeneous across investors. One source of heterogeneity is industry affiliation. I show that the cross-section of expected stock returns is primarily affected by industry-level rather than aggregate labor income risk. Furthermore, when human capital is excluded from the asset pricing model, the resulting idiosyncratic risk may appear to be priced. I find that the premium for idiosyncratic risk documented by several empirical studies depends on the covariance between stock and human capital returns.