The Stock Market and Aggregate Employment

40 Pages Posted: 16 Jul 2009 Last revised: 16 Sep 2009

See all articles by Long Chen

Long Chen

Cheung Kong Graduate School of Business

Lu Zhang, 张橹

Ohio State University - Fisher College of Business; National Bureau of Economic Research (NBER)

Multiple version iconThere are 2 versions of this paper

Date Written: August 2009

Abstract

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.

Keywords: Time-varying risk premiums, payroll growth, unemployment rate, search and matching, time-to-build

JEL Classification: G31, G12, J23

Suggested Citation

Chen, Long and Zhang, Lu, The Stock Market and Aggregate Employment (August 2009). Available at SSRN: https://ssrn.com/abstract=1434269 or http://dx.doi.org/10.2139/ssrn.1434269

Long Chen

Cheung Kong Graduate School of Business ( email )

Oriental Plaza, Tower E3
One East Chang An Avenue
Beijing, 100738
China

Lu Zhang (Contact Author)

Ohio State University - Fisher College of Business ( email )

2100 Neil Avenue
Columbus, OH 43210-1144
United States
585-267-6250 (Phone)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
319
Abstract Views
1,853
rank
89,997
PlumX Metrics