Industry‐Specific Human Capital, Idiosyncratic Risk, and the Cross‐Section of Expected Stock Returns
研究发现预期股票收益主要受行业层面而非总体劳动收入风险影响，且人力资本被排除时特质风险看似被定价，其溢价取决于股票与人力资本收益的协方差。
ABSTRACT Human capital is one of the largest assets in the economy and in theory may play an important role for asset pricing. Human capital is heterogeneous across investors. One source of heterogeneity is industry affiliation. I show that the cross‐section of expected stock returns is primarily affected by industry‐level rather than aggregate labor income risk. Furthermore, when human capital is excluded from the asset pricing model, the resulting idiosyncratic risk may appear to be priced. I find that the premium for idiosyncratic risk documented by several empirical studies depends on the covariance between stock and human capital returns.