@article{6f87b6986b2d4ca3bdc7ea84dd43738b,
title = "A Labor Capital Asset Pricing Model",
abstract = "We show that labor search frictions are an important determinant of the cross-section of equity returns. Empirically, we find that firms with low loadings on labor market tightness outperform firms with high loadings by 6% annually. We propose a partial equilibrium labor market model in which heterogeneous firms make dynamic employment decisions under labor search frictions. In the model, loadings on labor market tightness proxy for priced time-variation in the efficiency of the aggregate matching technology. Firms with low loadings are more exposed to adverse matching efficiency shocks and require higher expected stock returns.",
author = "Kuehn, {Lars Alexander} and Mikhail Simutin and Jiaxu Wang",
note = "Funding Information: Mikhail Simutin gratefully acknowledges support from the Social Sciences and Humanities Research Council (Grant 430-2013-0588). The authors have no conflicts of interest, as identified in the Journal of Finance's disclosure policy. Funding Information: ∗Lars-Alexander Kuehn is at the Tepper School of Business, Carnegie Mellon University; Mikhail Simutin is at the Rotman School of Management, University of Toronto; Jessie Jiaxu Wang is at the W. P. Carey School of Business, Arizona State University. We thank the Editor Ken Singleton, two anonymous referees, Frederico Belo, Ilan Cooper, Andres Donangelo, Vito Gala, Brent Glover, Bart Hobijn, Burton Hollifield, Finn Kydland, Christian Lundblad, Stefan Nagel, Stavros Panageas, Dimitris Papanikolaou, Nicolas Petrosky-Nadeau, Chris Telmer, Lu Zhang, conference participants of the 2012 Western Economic Association Annual Conference, 2012 Midwest Macroeconomics Meeting, 2013 Midwest Finance Association Meeting, 2013 ASU Sonoran Winter Finance Conference, 2013 SFS Finance Cavalcade, 2013 CAPR Workshop on Production Based Asset Pricing at BI Norway, 2014 American Finance Association Meeting, 2016 CSEF-EIEF-SITE Conference on Finance and Labor, and seminar participants at Carnegie Mellon University, Goethe Universit{\"a}t Frankfurt, ESMT, Humboldt Universit{\"a}t Berlin, University of Virginia (Darden), University of Michigan, Tsinghua University, University of Washington, Georgetown University, Vienna University of Economics and Business, University of Oklahoma, and University of Texas at Dallas for helpful comments. Mikhail Simutin gratefully acknowledges support from the Social Sciences and Humanities Research Council (Grant 430-2013-0588). The authors have no conflicts of interest, as identified in the Journal of Finance{\textquoteright}s disclosure policy.",
year = "2017",
month = oct,
doi = "10.1111/jofi.12504",
language = "English (US)",
volume = "72",
pages = "2131--2178",
journal = "Journal of Finance",
issn = "0022-1082",
publisher = "Wiley-Blackwell",
number = "5",
}