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Essays in Asset Pricing and Labor Ma...

Kilic, Mete.

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Essays in Asset Pricing and Labor Markets.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Essays in Asset Pricing and Labor Markets./
Author:	Kilic, Mete.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2017,
Description:	168 p.
Notes:	Source: Dissertation Abstracts International, Volume: 78-12(E), Section: A.
Contained By:	Dissertation Abstracts International78-12A(E).
Subject:	Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10268294
ISBN:	9780355095425

Essays in Asset Pricing and Labor Markets.
Kilic, Mete.

Essays in Asset Pricing and Labor Markets. - Ann Arbor : ProQuest Dissertations & Theses, 2017 - 168 p.

Source: Dissertation Abstracts International, Volume: 78-12(E), Section: A.

Thesis (Ph.D.)--University of Pennsylvania, 2017.

In the first chapter, ''Asset Pricing Implications of Hiring Demographics'', I document that U.S. industries that shift their skilled workforce toward young employees exhibit higher expected equity returns. The young-minus-old (YMO) hiring return spread comoves negatively with value-minus-growth while being significantly positive on average. Exposure to the YMO spread accounts for a significant portion of annual momentum profits at the industry level. I find that an adjustment of the skilled workforce toward young employees is associated with greater productivity in new capital inputs of an industry. This motivates a risk-based explanation for the YMO spread, and its interaction with value and momentum. A model of investment and hiring where young and experienced employees are equipped with differential roles in production and investment can account for the empirical findings.

ISBN: 9780355095425Subjects--Topical Terms:

542899
Finance.

Essays in Asset Pricing and Labor Markets.
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245 1 0 $a Essays in Asset Pricing and Labor Markets.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2017
300 $a 168 p.
500 $a Source: Dissertation Abstracts International, Volume: 78-12(E), Section: A.
500 $a Advisers: Jessica A. Wachter; Amir Yaron.
502 $a Thesis (Ph.D.)--University of Pennsylvania, 2017.
520 $a In the first chapter, ''Asset Pricing Implications of Hiring Demographics'', I document that U.S. industries that shift their skilled workforce toward young employees exhibit higher expected equity returns. The young-minus-old (YMO) hiring return spread comoves negatively with value-minus-growth while being significantly positive on average. Exposure to the YMO spread accounts for a significant portion of annual momentum profits at the industry level. I find that an adjustment of the skilled workforce toward young employees is associated with greater productivity in new capital inputs of an industry. This motivates a risk-based explanation for the YMO spread, and its interaction with value and momentum. A model of investment and hiring where young and experienced employees are equipped with differential roles in production and investment can account for the empirical findings.
520 $a The second chapter, ''Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility'', co-authored with Jessica A. Wachter, answers the following questions: What is the driving force behind the cyclical behavior of unemployment and vacancies? What is the relation between job-creation incentives of firms and stock market valuations? Our model features time-varying risk, modeled as a small and variable probability of an economic disaster. A high probability implies greater risk and lower future growth, lowering the incentives of firms to invest in hiring. During periods of high risk, stock market valuations are low and unemployment rises. The model thus explains volatility in equity and labor markets, and the relation between the two.
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650 4 $a Labor economics. $3 642730
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