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Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility

Citations

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Cited by:

  1. Dongweon Lee & Yena Park, 2022. "Utility Curvature and Unemployment Volatility," Korean Economic Review, Korean Economic Association, vol. 38, pages 347-379.
  2. Bai, Hang & Zhang, Lu, 2022. "Searching for the equity premium," Journal of Financial Economics, Elsevier, vol. 143(2), pages 897-926.
  3. Xu Cheng & Winston Wei Dou & Zhipeng Liao, 2022. "Macro‐Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models," Econometrica, Econometric Society, vol. 90(2), pages 685-713, March.
  4. Gao, Han & Lin, Chunpeng & Peng, Juan & Zhao, Siqi, 2024. "Overextrapolation of disaster probabilities and asset pricing in a production economy," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 845-854.
  5. Viral V. Acharya & Timothy Johnson & Suresh Sundaresan & Steven Zheng, 2025. "Vaccine Progress, Stock Prices, and the Value of Ending the Pandemic," Management Science, INFORMS, vol. 71(3), pages 2714-2732, March.
  6. Patrick Kehoe & Elena Pastorino & Pierlauro Lopez & Virgiliu Midrigan, 2018. "Asset Prices and Unemployment Fluctuations," 2018 Meeting Papers 1119, Society for Economic Dynamics.
  7. Atanasov, Victoria, 2021. "Unemployment and aggregate stock returns," Journal of Banking & Finance, Elsevier, vol. 129(C).
  8. Emmanuel Farhi & Francois Gourio, 2018. "Accounting for Macro-Finance Trends: Market Power, Intangibles, and Risk Premia," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 49(2 (Fall)), pages 147-250.
  9. Mehran Ebrahimian & Jessica A. Wachter, 2025. "Risks to Human Capital," Management Science, INFORMS, vol. 71(3), pages 2583-2622, March.
  10. Marfè, Roberto & Pénasse, Julien, 2024. "Measuring macroeconomic tail risk," Journal of Financial Economics, Elsevier, vol. 156(C).
  11. Zou, Renhao & Zhang, Shuguang & He, Zhipeng & Hao, Chenlu, 2024. "Co-jumps in the Chinese stock market before, during and after the COVID-19 pandemic: A network perspective," Finance Research Letters, Elsevier, vol. 70(C).
  12. Pflueger, Carolin & Rinaldi, Gianluca, 2022. "Why does the Fed move markets so much? A model of monetary policy and time-varying risk aversion," Journal of Financial Economics, Elsevier, vol. 146(1), pages 71-89.
  13. Robert E. Hall & Marianna Kudlyak, 2022. "Why Has the US Economy Recovered So Consistently from Every Recession in the Past 70 Years?," NBER Macroeconomics Annual, University of Chicago Press, vol. 36(1), pages 1-55.
  14. Bo Liu & Yingjie Niu & Jinqiang Yang & Zhentao Zou, 2020. "Time‐varying risk of rare disasters, investment, and asset pricing," The Financial Review, Eastern Finance Association, vol. 55(3), pages 503-524, August.
  15. Susanto Basu & Giacomo Candian & Ryan Chahrour & Rosen Valchev, 2021. "Risky Business Cycles," NBER Working Papers 28693, National Bureau of Economic Research, Inc.
  16. Mehran Ebrahimian & Jessica Wachter, 2020. "Risks to Human Capital," NBER Working Papers 26823, National Bureau of Economic Research, Inc.
  17. Huynh, Nhan, 2023. "Unemployment beta and the cross-section of stock returns: Evidence from Australia," International Review of Financial Analysis, Elsevier, vol. 86(C).
  18. Jian Chen & Jiaquan Yao & Qunzi Zhang & Xiaoneng Zhu, 2023. "Global Disaster Risk Matters," Management Science, INFORMS, vol. 69(1), pages 576-597, January.
  19. Liu, Shu & Xu, Yonghao, 2025. "Recovering after natural disasters: A stabilizing role of the government," China Economic Review, Elsevier, vol. 94(PB).
  20. Niu, Yingjie & Yang, Jinqiang & Zou, Zhentao, 2024. "Disaster learning and aggregate investment," Journal of Economic Theory, Elsevier, vol. 220(C).
  21. Cakici, Nusret & Zaremba, Adam, 2023. "Misery on Main Street, victory on Wall Street: Economic discomfort and the cross-section of global stock returns," Journal of Banking & Finance, Elsevier, vol. 149(C).
  22. Krivenko, Pavel, 2023. "Asset prices in a labor search model with confidence shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
  23. Lukas Freund & Hanbaek Lee & Pontus Rendahl, 2023. "The Risk-Premium Channel of Uncertainty: Implications for Unemployment and Inflation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 51, pages 117-137, December.
  24. Baek, Chaeyoon & Baek, Seungho & Glambosky, Mina, 2024. "Macroeconomic impact and stock returns' vulnerability by size, solvency, and financial distress," Finance Research Letters, Elsevier, vol. 59(C).
  25. Indrajit Mitra & Taeuk Seo & Yu Xu, 2024. "High Discounts and Low Fundamental Surplus: An Equivalence Result for Unemployment Fluctuations," Management Science, INFORMS, vol. 70(6), pages 4051-4068, June.
  26. Dou, Winston Wei & Ji, Yan & Wu, Wei, 2021. "Competition, profitability, and discount rates," Journal of Financial Economics, Elsevier, vol. 140(2), pages 582-620.
  27. Schmidt, Lawrence D.W., 2025. "Climbing and falling off the ladder: Asset pricing implications of labor market event risk," Journal of Financial Economics, Elsevier, vol. 172(C).
  28. Vuillemey, Guillaume & Wasmer, Etienne, 2020. "Frictional unemployment with stochastic bubbles," European Economic Review, Elsevier, vol. 122(C).
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