; ; ; "ActiveFedora::Aggregation::ListSource" . a , ; "Relationship Between Labor-Income Risk and Average Return: Empirical Evidence From the Japanese Stock Market"; ; "batchuser@example.com"; "Kubota, Keiichi, 1948-", "Takehara, Hitoshi", "Jagannathan, Ravi"; "Federal Reserve Bank of Minneapolis"; "G01 - Financial Crises", "G00 - Financial Economics: General", "G11 - Portfolio Choice; Investment Decisions", "G12 - Asset Pricing; Trading Volume; Bond Interest Rates", "G15 - International Financial Markets", "F30 - International Finance: General"; "In Japan, as in the United States, stocks that are more sensitive to changes in the monthly growth rate of labor income earn a higher return on average. Whereas the stock-index beta can only explain 2 percent of the cross-sectional variation in the average return on stock portfolios, the stock-index beta and the labor-beta together explain 75 percent of the variation. We find that the labor-beta drives out the size effect but not the book-to-market-price effect that is documented in the literature. We explore the extent to which these results are an artifact of seasonal patterns in labor-income growth rates as well as asset returns. In Japan, the book-to-market-price characteristic can be adequately captured by a particular factor-beta, as suggested by Fama and French (1993). This is in contrast to the findings reported by Daniel and Titman (1997) for the United States. "^^; "1997-06-01"; "2019-05-21T16:28:21.323535385+00:00"^^; "https://doi.org/10.21034/dp.117"; ; "https://creativecommons.org/licenses/by-nc/4.0/"; "Wed Apr 22 16:45:48 2020"; "https://creativecommons.org/licenses/by-nc/4.0/"; "Research Paper"; "773", "428", "365"; "Discussion paper (Federal Reserve Bank of Minneapolis. Institute for Empirical Macroeconomics)"; "117"; ; ; ; ; "Federal Reserve Bank of Minneapolis. Institute for Empirical Macroeconomics"; "Published in: _Journal of Business_ (Vol. 71, No. 3, July 1998, pp. 319-347) http://doi.org/10.1086/209747."^^; ; "Publication" . ; .