劳动收入风险与预期收益率的横截面
Labor Income Risk and the Cross-Section of Expected Returns
摘要：
本文探讨了失业风险对资产定价的影响。我使用跨行业分散度（CID）来代表这种风险，CID定义为49个行业投资组合回报的平均绝对偏差。CID在加速部门重新分配和不确定性增加期间达到峰值。我发现，预期股票收益率相关的横截面的回报创新的敏感性在CID。对CID敏感性高的股票的年化收益率比敏感性低的股票的年化收益率低5.9%。最佳因子模型的异常收益率为3.5%，表明普通因子不能解释这种收益率差异。对CID高度敏感的股票可能是受益于行业变化的股票。CID通过其长期组成部分积极预测失业，这与CID是部门转移失业风险的代理的假设一致。
英文摘要：
This paper explores asset pricing implications of unemployment risk from sectoral shifts. I proxy for this risk using cross-industry dispersion (CID), defined as a mean absolute deviation of returns of 49 industry portfolios. CID peaks during periods of accelerated sectoral reallocation and heightened uncertainty. I find that expected stock returns are related cross-sectionally to the sensitivities of returns to innovations in CID. Annualized returns of the stocks with high sensitivity to CID are 5.9% lower than the returns of the stocks with low sensitivity. Abnormal returns with respect to the best factor model are 3.5%, suggesting that common factors can not explain this return spread. Stocks with high sensitivity to CID are likely to be the stocks, which benefited from sectoral shifts. CID positively predicts unemployment through its long-term component, consistent with the hypothesis that CID is a proxy for unemployment risk from sectoral shifts.
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