讲座题目：Labor Market Networks and Asset Returns

主 讲 人：美国乔治敦大学 赵晓飞 副教授

讲座时间：2022年4月28日（周四）上午10：00

腾讯会议：808 167 230

主办单位：金融工程与风险管理研究中心

主讲人简介:

赵晓飞博士，美国乔治敦大学副教授，曾任教于美国德克萨斯大学达拉斯分校Jindal管理学院。他的主要研究兴趣包括资产定价和信息经济学。其研究成果发表在American Economic Review, Review of Financial Studies, Journal of Financial Economics, Management Science等国际顶尖杂志。

讲座摘要:

This paper proposes a measure of labor market connectivity based on the similarity in the composition of occupational knowledge characteristics across industries and provides evidence of return predictability in the cross-section of industries that are connected through the labor market. In long-short portfolios, an industry's return is strongly predicted by the past return of its labor-market-connected neighboring industries with an annualized return of up to 9%, which is not explained by established asset pricing models. The return predictability remains significant after controlling for the supply chain momentum, technological innovation similarity, and the industry lead-lag effect, and is concentrated in stocks with higher arbitrage costs and higher ownership of uninformed investors. We find similar predictive relations for the labor productivity, wages, employment, and profitability of labor connected industries. Our findings are consistent with positive spillover of productivity shocks among industries that are connected through the labor market. Informational frictions, costly arbitrage, and investors' limited attention magnify the delayed response of stock prices to the spillover of labor productivity shocks, which results in the observed return predictability.