Labor Conditions and Future Capital Market Performance

Posted: 8 Feb 2017

See all articles by Robert D. Arnott

Robert D. Arnott

Research Affiliates, LLC

Feifei Li

Research Affiliates, LLC

Xi Liu

Research Affiliates, LLC

Date Written: November 1, 2016

Abstract

The authors find a linkage between labor market conditions and future capital market returns: An increase in the unemployment rate is linked to positive excess returns in both stock and bond markets for the 24-month period following the unemployment rate announcement. Furthermore, by controlling for some well-known market and macroeconomic variables, the authors find that the unemployment rate still preserves, in general, its power in predicting future capital market performance.

Suggested Citation

Arnott, Robert D. and Li, Feifei and Liu, Xi, Labor Conditions and Future Capital Market Performance (November 1, 2016). Journal of Portfolio Management, Vol. 43, No. 1, Fall 2016, Available at SSRN: https://ssrn.com/abstract=2913253

Robert D. Arnott

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Feifei Li (Contact Author)

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Xi Liu

Research Affiliates, LLC ( email )

620 Newport Center Dr
Suite 900
Newport Beach, CA 92660
United States

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