Labor Income and Predictable Stock Returns
提出一个经济机制，认为投资者收入中工资与股息的比例波动会影响股票风险溢价，从而预测股票收益。时间序列和横截面回归均支持该模型。
We propose a novel economic mechanism that generates stock return predictability in both the time series and the cross-section. Investors' income has two sources, wages and dividends that grow stochastically over time. As a consequence the fraction of total income produced by wages fluctuates depending on economic conditions. We show that the risk premium that investors require to hold stocks varies with these fluctuations. A regression of stock returns on lagged values of the labor income to consumption ratio produces statistically significant coefficients and large adjusted R-super-2s. Tests of the model's cross-sectional predictions on the set of 25 Fama--French portfolios sorted on size and book-to-market are also met with considerable support. Copyright 2006, Oxford University Press.