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
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