Industry-Specific Human Capital, Idiosyncratic Risk and the Cross-Section of Expected Stock Returns
Industry-Specific Human Capital, Idiosyncratic Risk and the Cross-Section of Expected Stock Returns
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DOI：
10.1111/j.1540-6261.2012.01794.x
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发表时间：
2011-12
期刊：
影响因子：
--
通讯作者：
E. Eiling
中科院分区：
文献类型：
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作者：
E. Eiling
人力资本是经济中最大的资产之一，在理论上它可以对资产定价起重要作用。人力资本在投资者之间是异质的，异质性的一个来源是行业关联。我表明，横截面的预期股票收益率主要是受行业水平，而不是总劳动收入风险。此外，当人力资本被排除在资产定价模型之外时，由此产生的特质风险可能会被定价。我发现，特殊风险的溢价记录的几个实证研究取决于股票和人力资本回报之间的协方差。
Human capital is one of the largest assets in the economy and in theory it may play an important role for asset pricing. Human capital is heterogeneous across investors and one source of heterogeneity is industry affiliation. I show that the cross-section of expected stock returns is primarily affected by industry-level rather than aggregate labor income risk. Furthermore, when human capital is excluded from the asset pricing model, the resulting idiosyncratic risk may appear to be priced. I find that the premium for idiosyncratic risk documented by several empirical studies depends on the covariance between stock and human capital returns.