Journal of Finance, Volume 72, Issue 5, October 2017

基于劳动力的资本资产定价模型

作者：Lars-Alexander Kuehn (Carnegie Mellon University), Mikhail Simutin (University of Toronto), Jessie Jiaxu Wang (Arizona State University)

摘要：我们发现劳动力搜寻摩擦对于股票的横截面收益而言是一个很重要的决定因素。实证结果显示，在劳动力市场上，那些劳动力紧缺程度较低的公司的股票收益比那些紧缺程度高的公司每年高6%。在本文中我们提出了一个部分均衡的劳动力市场模型，该模型中异质企业在劳动力搜寻摩擦下做出动态的雇佣决策。在模型中，我们用劳动力市场紧缺度的因子载荷来衡量时变的总匹配技术效率。那些具有较低因子载荷的公司更容易受到不利的匹配效率的冲击，因而需要更高的股票期望收益。

A Labor Capital Asset Pricing Model

Lars-Alexander Kuehn (Carnegie Mellon University), Mikhail Simutin (University of Toronto), Jessie Jiaxu Wang (Arizona State University)

ABSTRACT

We show that labor search frictions are an important determinant of the cross-section of equity returns. Empirically, we find that firms with low loadings on labor market tightness outperform firms with high loadings by 6% annually. We propose a partial equilibrium labor market model in which heterogeneous firms make dynamic employment decisions under labor search frictions. In the model, loadings on labor market tightness proxy for priced time-variation in the efficiency of the aggregate matching technology. Firms with low loadings are more exposed to adverse matching efficiency shocks and require higher expected stock returns.

原文链接：

http://onlinelibrary.wiley.com/doi/10.1111/jofi.12504/full

翻译：秦秀婷