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Labor income, relative wealth concerns, and the cross section of stock returns

Gómez, Juan-Pedro; Priestley, Richard; Zapatero, Fernando
Journal article, Peer reviewed
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Labor income 2016.pdf (333.3Kb)
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http://hdl.handle.net/11250/2427334
Utgivelsesdato
2016
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  • Scientific articles [2147]
Originalversjon
Journal of Financial and Quantitative Analysis. 51(2016)4, 1111-1133   http://dx.doi.org/10.1017/S002210901600048X
Sammendrag
The finance literature documents a relation between labor income and the cross-section of stock returns. One possible explanation for this is the hedg-ing decisions of investors with relative wealth concerns. This implies a negative risk premium associated with stock returns correlated with local undiversi able wealth, since investors are willing to pay more for stocks that help their hedging goals. We nd evidence that is consistent with these regularities. In addition, we show that the e ect varies across geographic areas depending on the size and variability of undiversi able wealth, proxied by labor income.
Beskrivelse
This is the accepted and peer reviewed manuscript to the article. The article is also available from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1102231
Utgiver
Cambridge University Press
Tidsskrift
Journal of Financial and Quantitative Analysis

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