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The stock market and aggregate employment

  • Long Chen
  • Lu Zhang

We study the interactions between the stock market and the labor market. When aggregate risk premiums are time-varying, predictive variables for market excess returns should forecast long-horizon growth in the marginal benefit of hiring and thereby long-horizon aggregate employment growth. Consistent with this logic, we document that long-horizon payroll growth and change in unemployment rate are predictable with risk premium proxies. Lagged payroll growth and change in unemployment rate also forecast stock market excess returns.

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File URL: http://www.nber.org/papers/w15219.pdf
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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 15219.

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Date of creation: Aug 2009
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Publication status: published as Do time-varying risk premiums explain labor market performance? (with Chen), 2011, Journal of Financial Economics 99 (2), 385-399.
Handle: RePEc:nbr:nberwo:15219
Note: AP EFG LS
Contact details of provider: Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
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