Future labor income growth and the cross-section of equity returns

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dc.contributor.authorKim, Dongcheolko
dc.contributor.authorKim, Tong Sukko
dc.contributor.authorMin, Byoung-Kyuko
dc.date.accessioned2013-03-11T06:40:09Z-
dc.date.available2013-03-11T06:40:09Z-
dc.date.created2012-02-06-
dc.date.created2012-02-06-
dc.date.issued2011-01-
dc.identifier.citationJOURNAL OF BANKING & FINANCE, v.35, pp.67 - 81-
dc.identifier.issn0378-4266-
dc.identifier.urihttp://hdl.handle.net/10203/98540-
dc.description.abstractThis paper examines the equilibrium relation between future labor income growth and expected asset returns; it proposes revisions in the expectation of future labor income growth as a macroeconomic state variable and suggests a three-factor model, including a factor related to this variable, along with the consumption growth factor and the market factor. The proposed future labor income growth factor is positively associated with the Fama-French factors and subsumes their explanatory power in explaining the cross-section of stock returns. These results provide a possible economic explanation for the roles of the Fama-French factors: they are compensation for higher exposure to the risk related to changes in the value of human capital. This paper also compares the performance of the proposed three-factor model with other competing models and finds that the proposed model specification better captures cross-sectional variation in average returns than any of the competing asset pricing models considered. (C) 2010 Elsevier B.V. All rights reserved.-
dc.languageEnglish-
dc.publisherELSEVIER SCIENCE BV-
dc.subjectEXPECTED STOCK RETURNS-
dc.subjectBOOK-TO-MARKET-
dc.subjectCONSISTENT COVARIANCE-MATRIX-
dc.subjectBETA-PRICING MODELS-
dc.subjectCOMMON RISK-FACTORS-
dc.subjectASSET RETURNS-
dc.subjectTEMPORAL BEHAVIOR-
dc.subjectCONSUMPTION-
dc.subjectNEWS-
dc.subjectSIZE-
dc.titleFuture labor income growth and the cross-section of equity returns-
dc.typeArticle-
dc.identifier.wosid000284393800006-
dc.identifier.scopusid2-s2.0-77957920198-
dc.type.rimsART-
dc.citation.volume35-
dc.citation.beginningpage67-
dc.citation.endingpage81-
dc.citation.publicationnameJOURNAL OF BANKING & FINANCE-
dc.identifier.doi10.1016/j.jbankfin.2010.07.014-
dc.contributor.localauthorKim, Tong Suk-
dc.contributor.nonIdAuthorKim, Dongcheol-
dc.contributor.nonIdAuthorMin, Byoung-Kyu-
dc.type.journalArticleArticle-
dc.subject.keywordAuthorFuture labor income growth-
dc.subject.keywordAuthorFama-French factors-
dc.subject.keywordAuthorEconomic tracking portfolio-
dc.subject.keywordAuthorIntertemporal CAPM-
dc.subject.keywordPlusEXPECTED STOCK RETURNS-
dc.subject.keywordPlusBOOK-TO-MARKET-
dc.subject.keywordPlusCONSISTENT COVARIANCE-MATRIX-
dc.subject.keywordPlusBETA-PRICING MODELS-
dc.subject.keywordPlusCOMMON RISK-FACTORS-
dc.subject.keywordPlusASSET RETURNS-
dc.subject.keywordPlusTEMPORAL BEHAVIOR-
dc.subject.keywordPlusCONSUMPTION-
dc.subject.keywordPlusNEWS-
dc.subject.keywordPlusSIZE-
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