DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, Dongcheol | ko |
dc.contributor.author | Kim, Tong Suk | ko |
dc.contributor.author | Min, Byoung-Kyu | ko |
dc.date.accessioned | 2013-03-11T06:40:09Z | - |
dc.date.available | 2013-03-11T06:40:09Z | - |
dc.date.created | 2012-02-06 | - |
dc.date.created | 2012-02-06 | - |
dc.date.issued | 2011-01 | - |
dc.identifier.citation | JOURNAL OF BANKING & FINANCE, v.35, pp.67 - 81 | - |
dc.identifier.issn | 0378-4266 | - |
dc.identifier.uri | http://hdl.handle.net/10203/98540 | - |
dc.description.abstract | This 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.language | English | - |
dc.publisher | ELSEVIER SCIENCE BV | - |
dc.subject | EXPECTED STOCK RETURNS | - |
dc.subject | BOOK-TO-MARKET | - |
dc.subject | CONSISTENT COVARIANCE-MATRIX | - |
dc.subject | BETA-PRICING MODELS | - |
dc.subject | COMMON RISK-FACTORS | - |
dc.subject | ASSET RETURNS | - |
dc.subject | TEMPORAL BEHAVIOR | - |
dc.subject | CONSUMPTION | - |
dc.subject | NEWS | - |
dc.subject | SIZE | - |
dc.title | Future labor income growth and the cross-section of equity returns | - |
dc.type | Article | - |
dc.identifier.wosid | 000284393800006 | - |
dc.identifier.scopusid | 2-s2.0-77957920198 | - |
dc.type.rims | ART | - |
dc.citation.volume | 35 | - |
dc.citation.beginningpage | 67 | - |
dc.citation.endingpage | 81 | - |
dc.citation.publicationname | JOURNAL OF BANKING & FINANCE | - |
dc.identifier.doi | 10.1016/j.jbankfin.2010.07.014 | - |
dc.contributor.localauthor | Kim, Tong Suk | - |
dc.contributor.nonIdAuthor | Kim, Dongcheol | - |
dc.contributor.nonIdAuthor | Min, Byoung-Kyu | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | Future labor income growth | - |
dc.subject.keywordAuthor | Fama-French factors | - |
dc.subject.keywordAuthor | Economic tracking portfolio | - |
dc.subject.keywordAuthor | Intertemporal CAPM | - |
dc.subject.keywordPlus | EXPECTED STOCK RETURNS | - |
dc.subject.keywordPlus | BOOK-TO-MARKET | - |
dc.subject.keywordPlus | CONSISTENT COVARIANCE-MATRIX | - |
dc.subject.keywordPlus | BETA-PRICING MODELS | - |
dc.subject.keywordPlus | COMMON RISK-FACTORS | - |
dc.subject.keywordPlus | ASSET RETURNS | - |
dc.subject.keywordPlus | TEMPORAL BEHAVIOR | - |
dc.subject.keywordPlus | CONSUMPTION | - |
dc.subject.keywordPlus | NEWS | - |
dc.subject.keywordPlus | SIZE | - |
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