JOURNAL OF EMPIRICAL FINANCE🧖🏼‍♀️，VOL48 ,SEPTEMBER 2018

劳动力新闻对冲投资组合与横截面股票预期回报

作者：Olaf Stotz (Frankfurt School of Finance and Management)

摘要：利用劳动统计中的未预期到的成分与劳动新闻公告日的资产回报之间的关系，我们得出了劳动力β。通过在市场投资组合中添加劳动力新闻对冲投资组合（做多高劳动力β资产⛑👏🏻，做空低劳动力β资产），我们获得了劳动新闻模型🫱🏽。该模型和其他多因素模型一样（甚至更好）✈️，描述了横截面上的预期股票回报🫄🏽。劳动收入风险溢价预计每年在三到五个百分点之间变化🕺🏿。

关键词：劳动新闻模型👱🏻，Fama–French因素，对冲投资组合

A Labor News Hedge Portfolio and the Cross-Section of Expected Stock Returns

Olaf Stotz (Frankfurt School of Finance and Management)

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.

Keywords: Labor News Model，Fama–French Factors，Hedge Portfolios

原文链接👩🏽‍🎓：

https://www.sciencedirect.com/science/article/abs/pii/S0927539818300471#!

翻译：王秭越