The cross‐sectional return predictability of employment growth: A liquidity risk explanation
研究发现就业增长与股票流动性风险相关，高就业增长公司股票流动性更好且流动性风险更低，调整流动性风险后就业增长失去收益预测能力。
Abstract Employment growth (EG) is related to liquidity fundamentals of investment opportunities, firm health, and information environment and quality. This, in turn, implies that liquidity risk may play a role in explaining the relation between EG and stock returns. We find strong empirical evidence supporting the link between EG and liquidity risk. Stocks of high‐EG firms are more liquid and exposed to lower liquidity risk than stocks of low‐EG firms. After adjusting for liquidity risk, EG loses its power to predict returns.