Abstract
In Japan, as in the United States, stocks that are more sensitive to changes in the monthly growth rate of labor income earn a higher return on average. Whereas the stock-index beta can only explain 2 percent of the cross-sectional variation in the average return on stock portfolios, the stock-index beta and the labor beta together explain 75 percent of the variation. The authors find that the labor beta drives out the size effect but not the book-to-market-price effect that is documented in the literature. Copyright 1998 by University of Chicago Press.
Keywords
EconomicsStock marketLabour economicsBusinessGeography
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Publication Info
- Year
- 1998
- Type
- article
- Volume
- 71
- Issue
- 3
- Pages
- 319-347
- Citations
- 135
- Access
- Closed
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Cite This
Ravi Jagannathan,
Keiichi Kubota,
Hitoshi Takehara
(1998).
Relationship between Labor‐Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market.
The Journal of Business
, 71
(3)
, 319-347.
https://doi.org/10.1086/209747
Identifiers
- DOI
- 10.1086/209747