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Labor Hiring, Investment, and Stock Return Predictability in the Cross Section
16 references·16 citing·41 second hopsampled
Labor Hiring, Investment, and Stock Return Predictability in the Cross Section (2008)Labor Hiring, Investment, and Stock Retur…The Impact of Uncertainty Shocks (2009)The Impact of Uncertainty Sho…Dissecting Anomalies (2007)Dissecting AnomaliesThe Value Premium (2005)The Value PremiumFinancing Investment (2001)Financing InvestmentOptimal Investment, Growth Options, and Security Returns (1998)Optimal Investment, Growth Op…Asset pricing in production economies (1998)Asset pricing in production e…The Delisting Bias in CRSP Data (1997)The Delisting Bias in CRSP Da…Long-Run Implications of Investment-Specific Technological Change (1995)Long-Run Implications of Inve…Job Creation and Job Destruction in the Theory of Unemployment (1994)Job Creation and Job Destruct…Labor Demand (1993)Labor DemandCommon risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models (1991)Quadrature-Based Methods for …Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)Production-Based Asset Pricin…Aggregate Demand Management in Search Equilibrium (1982)Aggregate Demand Management i…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Human behavior and the principle of least effort (1949)Human behavior and the princi…The Changing Economics of Knowledge Production (2023)The Changing Economics of Kno…The Fundamental-to-Market Ratio and the Value Premium Decline (2020)The Fundamental-to-Market Rat…Digital Capital and Superstar Firms (2020)Digital Capital and Superstar…Taming the Factor Zoo: A Test of New Factors (2019)Taming the Factor Zoo: A Test…Lottery-Related Anomalies: The Role of Reference-Dependent Preferences (2015)Lottery-Related Anomalies: Th…Competition, Markups and Predictable Returns (2015)Competition, Markups and Pred…The investment manifesto (2013)The investment manifestoInvestment shocks and the commodity basis spread (2013)Investment shocks and the com…Product Market Competition and Industry Returns (2012)Product Market Competition an…Inventory investment and the cost of capital (2012)Inventory investment and the …Economic Activity of Firms and Asset Prices (2012)Economic Activity of Firms an…The Inventory Growth Spread (2011)The Inventory Growth SpreadGovernment Investment and the Stock Market (2011)Government Investment and the…Endogenous Technological Progress and the Cross Section of Stock Returns (2011)Endogenous Technological Prog…Predictability of Returns and Cash Flows (2010)Predictability of Returns and…Do time-varying risk premiums explain labor market performance? (2010)Do time-varying risk premiums…Time to Build and Aggregate Fluctuations (1982)Increasing Returns and Long-Run Growth (1986)Long-Run Policy Analysis and Long-Run Growth (1991)Raising the Speed Limit: U.S. Economic Growth in the Information Age (2000)Information Technology and the U.S. Economy (2001)Growth and Structural Transformation (2013)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Expectations and the neutrality of money (1972)Coordinating Coordination Failures in Keynesian Models (1988)The Role of Monetary Policy (1995)Micro-Foundations of Urban Agglomeration Economies (2003)Systemic Risk and Stability in Financial Networks (2015)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Tobin's Marginal q and Average q: A Neoclassical Interpretation (1982)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)The Impact of Uncertainty Shocks (2007)Measuring Uncertainty (2015)Measuring Economic Policy Uncertainty* (2016)Measuring Geopolitical Risk (2022)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Do Industries Explain Momentum? (1999)The Stock Market Valuation of Research and Development Expenditures (2001)PE Ratios, PEG Ratios, and Estimating the Implied Expected Rate of Return on Equity Capital (2004)Investment Under Uncertainty. (1994)Industry Concentration and Average Stock Returns (2003)The conditional CAPM does not explain asset-pricing anomalies☆ (2006)Organization Capital and the Cross‐Section of Expected Returns (2013)The Cyclical Behavior of Equilibrium Unemployment and Vacancies (2005)Reassessing the Ins and Outs of Unemployment (2007)Workplace Heterogeneity and the Rise of West German Wage Inequality* (2013)Birds of a Feather: Homophily in Social Networks (2001)Zipf Distribution of U.S. Firm Sizes (2001)Power laws, Pareto distributions and Zipf's law (2005)Asset Growth and the Cross‐Section of Stock Returns (2008)Hedging Climate Change News (2019)Firm‐Level Climate Change Exposure (2023)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1949Human behavior and the principle of least effort6,562 cited
  • 2009The Impact of Uncertainty Shocks5,941 cited
  • 1994Job Creation and Job Destruction in the Theory of Unemployment3,846 cited
  • 1982Aggregate Demand Management in Search Equilibrium1,933 cited
  • 2007Dissecting Anomalies1,573 cited
  • 1998Optimal Investment, Growth Options, and Security Returns1,477 cited
  • 1995Long-Run Implications of Investment-Specific Technological Change1,350 cited
  • 2005The Value Premium1,334 cited
  • 1991Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations1,125 cited
  • 1998Asset pricing in production economies1,083 cited
  • 1997The Delisting Bias in CRSP Data1,057 cited
  • 1991Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models926 cited
  • 2001Financing Investment751 cited
  • 1993Labor Demand718 cited

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Cited by

  • 2012Product Market Competition and Industry Returns169 cited
  • 2023The Changing Economics of Knowledge Production166 cited
  • 2013Investment shocks and the commodity basis spread161 cited
  • 2020Digital Capital and Superstar Firms161 cited
  • 2011The Inventory Growth Spread155 cited
  • 2011Endogenous Technological Progress and the Cross Section of Stock Returns141 cited
  • 2012Inventory investment and the cost of capital139 cited
  • 2013The investment manifesto128 cited
  • 2015Competition, Markups and Predictable Returns98 cited
  • 2011Government Investment and the Stock Market80 cited
  • 2010Predictability of Returns and Cash Flows77 cited
  • 2012Economic Activity of Firms and Asset Prices74 cited
  • 2019Taming the Factor Zoo: A Test of New Factors64 cited
  • 2010Do time-varying risk premiums explain labor market performance?54 cited
  • 2020The Fundamental-to-Market Ratio and the Value Premium Decline49 cited
  • 2015Lottery-Related Anomalies: The Role of Reference-Dependent Preferences49 cited