Labor Links, Comovement, and Predictable Returns
利用企业在线招聘数据识别劳动力市场上的关联企业，发现劳动力关联企业的收益高度联动，且投资者未能及时纳入相关信息，导致收益可预测，套利策略年化超额收益达9%。
Abstract Using firms’ online job postings, we identify economically related peer firms in the labor market. Firms’ labor peers are vastly different from their industry peers, where the overlap is about 20%. Returns of labor-linked firms strongly comove, suggesting common responses to labor market shocks on average. However, industry shocks can affect firms outside the industry through the labor network, leading to substitution effects between labor peers. Last, we show that investors do not promptly incorporate news about labor-linked firms, leading to predictable subsequent returns. A long-short strategy exploiting this delay generates an average annualized excess return of 9%.