Relationship between labor-income risk and average return: Empirical evidence from the Japanese stock market

被引：55
|
作者：
Jagannathan, R [1 ]
Kubota, K
Takehara, H
机构：
[1] Northwestern Univ, Evanston, IL 60208 USA
[2] Univ Minnesota, Minneapolis, MN 55455 USA
[3] Musashi Univ, Tokyo, Japan
[4] Univ Tsukuba, Tsukuba, Ibaraki 305, Japan
来源：
JOURNAL OF BUSINESS | 1998年 / 71卷 / 03期
基金：
美国国家科学基金会;
关键词：
D O I：
10.1086/209747
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In Japan as in the United States, stocks that are more sensitive to changes in the monthly growth rate of labor income earn a higher return on average. Whereas the stock-index beta can only explain 2% of the cross-sectional variation in the average return on stock portfolios, the stock-index beta and the labor beta together explain 75% of the variation. We find that the labor beta drives out the size effect but not the book-to-market-price effect that is documented in the literature.
引用
收藏
页码：319 / 347
页数：29
相关论文
共 50 条
  • [31] The Dynamic Relationship between Stock Market and Macroeconomy at Sectoral Level: Evidence from Chinese and US Stock Market
    Jin, Zhenni
    Guo, Kun
    COMPLEXITY, 2021, 2021
  • [32] Does the stock market affect income distribution? Some empirical evidence for the US
    Beltratti, Andrea
    Morana, Claudio
    APPLIED ECONOMICS LETTERS, 2007, 14 (02) : 99 - 104
  • [33] Stock market reactions to dividend announcements: Empirical evidence from the Austrian stock market
    Henryk Gurgul
    Roland Mestel
    Christoph Schleicher
    Financial Markets and Portfolio Management, 2003, 17 (3): : 332 - 350
  • [34] Rare disaster risk and asset return-Evidence from tail risk in Chinese stock market
    The Wang Yanan Institute for Studies in Economics, Xiamen University, Xiamen
    361005, China
    不详
    361005, China
    Xitong Gongcheng Lilum yu Shijian, 9 (2186-2199):
  • [35] Market liquidity migration's effects on the relationship between stock liquidity and stock price crash risk: Evidence from China
    Tang, Yunshu
    Xie, Wenyan
    Li, Dong Andrew
    Ruan, Yaoyun
    QUARTERLY REVIEW OF ECONOMICS AND FINANCE, 2023, 91 : 158 - 169
  • [36] The Empirical Study on the Relationship between the Stock Market and the Real Estate Market in China
    Chen, Ling
    Huang, Huijing
    Xu, Wei
    ICCREM 2017: REAL ESTATE AND URBANIZATION, 2017, : 197 - 209
  • [37] Market frictions and stock return dynamics Evidence from the Athens Stock Exchange
    Koutmos, Gregory
    Philippatos, George C.
    MANAGERIAL FINANCE, 2007, 33 (03) : 210 - 219
  • [38] Stock Return Volatility and Trading Volume: Evidence from the Chinese Stock Market
    Wang, Ping
    Wang, Peijie
    Liu, Aying
    JOURNAL OF CHINESE ECONOMIC AND BUSINESS STUDIES, 2005, 3 (01) : 39 - 54
  • [39] Impacts of lagged returns on the risk-return relationship of Chinese aggregate stock market: Evidence from different data frequencies
    Liu, Jingzhen
    RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2019, 48 : 243 - 257
  • [40] Adverse selection: Empirical evidence from the relationship between price and volume in limit order books of China stock market
    Yu, Chen
    Ping, Li
    Yong, Zeng
    PROCEEDINGS OF THE 14TH INTERNATIONAL CONFERENCE ON INDUSTRIAL ENGINEERING AND ENGINEERING MANAGEMENT, VOLS A AND B: BUILDING CORE COMPETENCIES THROUGH IE&EM, 2007, : 876 - 881
12345