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- W2809760053 abstract "Using the relation between the surprise component in labor statistics and an asset’s return on labor news announcement days, we derive a labor beta. By adding a labor news hedge portfolio which is long in high labor beta assets and short in low labor beta assets to the market portfolio, we obtain a labor news model. This model describes the cross-section of expected stock returns just as well as or even better than alternative multifactor models. The estimated premium for bearing labor income risk varies between three and five percentage points per annum." @default.
- W2809760053 created "2018-07-10" @default.
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- W2809760053 date "2018-09-01" @default.
- W2809760053 modified "2023-09-24" @default.
- W2809760053 title "A labor news hedge portfolio and the cross-section of expected stock returns" @default.
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- W2809760053 doi "https://doi.org/10.1016/j.jempfin.2018.06.009" @default.
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