The Robustness of the Conditional CAPM with Human Capital
AbstractAn empirical evaluation is provided of the robustness of the conditional capital asset pricing model (CAPM) with human capital to explain the cross-sectional variability of security returns. This model has been evaluated in the literature using the growth rate in per capita labor income. This article looks at richer measures of human capital returns. It develops measures that incorporate the costs and benefits of educational investment, skill premiums, worker experience, and other relevant features of human capital markets. It also considers variables that help to forecast future human capital returns. We find that some of these richer measures help improve substantially the performance of the model. , .
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoArticle provided by Society for Financial Econometrics in its journal Journal of Financial Econometrics.
Volume (Year): 1 (2003)
Issue (Month): 2 ()
Contact details of provider:
Postal: Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK
Fax: 01865 267 985
Web page: http://jfec.oxfordjournals.org/
More information through EDIRC
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Antonios Athanassiadis, 2011. "Economic Returns and Risks to Investment in Education: An Application of the Multifactor CAPM," International Journal of Economic Sciences and Applied Research (IJESAR), Technological Educational Institute (TEI) of Kavala, Greece, vol. 4(1), pages 95-120, March.
- Fugazza, Carolina & Giofré, Maela & Nicodano, Giovanna, 2011.
"International diversification and industry-related labor income risk,"
International Review of Economics & Finance,
Elsevier, vol. 20(4), pages 764-783, October.
- Carolina Fugazza & Maela Giofre & Giovanna Nicodano, 2010. "International diversification and industry-related labor income risk," Carlo Alberto Notebooks 192, Collegio Carlo Alberto.
- Christiansen, Charlotte & Joensen, Juanna Schrøter & Nielsen, Helena Skyt, 2006.
"The Risk-Return Trade-Off in Human Capital Investment,"
IZA Discussion Papers
1962, Institute for the Study of Labor (IZA).
- Christiansen, Charlotte & Joensen, Juanna Schroter & Nielsen, Helena Skyt, 2007. "The risk-return trade-off in human capital investment," Labour Economics, Elsevier, vol. 14(6), pages 971-986, December.
- Charlotte Christiansen & Juanna Schröter Joensen, 2006. "The Risk-Return Trade-Off in Human Capital Investment," Economics Working Papers 2006-02, School of Economics and Management, University of Aarhus.
- Betermier, Sebastien & Jansson, Thomas & Parlour, Christine & Walden, Johan, 2012. "Hedging labor income risk," Journal of Financial Economics, Elsevier, vol. 105(3), pages 622-639.
- Miguel Palacios, 2010. "Human Capital as an Asset Class: Implications from a General Equilibrium Model," Working Papers 2011-016, Human Capital and Economic Opportunity Working Group.
- Dreyer, Johannes K. & Schneider, Johannes & Smith, William T., 2013. "Saving-based asset-pricing," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3704-3715.
- Hanno Lustig, 2005. "The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street (joint with Stijn Van Nieuwerburgh)," UCLA Economics Online Papers 352, UCLA Department of Economics.
- Saffi, Pedro, 2008. "Expected returns and liquidity risk: Does entrepreneurial income matter?," IESE Research Papers D/749, IESE Business School.
- Cziraki, P., 2012. "Insider trading, shareholder activism, and corporate policies," Open Access publications from Tilburg University urn:nbn:nl:ui:12-5590840, Tilburg University.
- Hanno Lustig & Stijn Van Nieuwerburgh, 2008.
"The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street,"
Review of Financial Studies,
Society for Financial Studies, vol. 21(5), pages 2097-2137, September.
- Hanno Lustig & Stijn Van Nieuwerburgh, 2005. "The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street," NBER Working Papers 11564, National Bureau of Economic Research, Inc.
- Sylvain, Serginio, 2014. "Does Human Capital Risk Explain The Value Premium Puzzle?," MPRA Paper 54551, University Library of Munich, Germany.
- Esther Eiling, 2013. "Industry-Specific Human Capital, Idiosyncratic Risk, and the Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 68(1), pages 43-84, 02.
- Christopher Malloy & Tobias Moskowitz, 2005. "Human Capital Risk, Stockholder Consumption, and Asset Returns," 2005 Meeting Papers 123, Society for Economic Dynamics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.