What drives the Premium Labour Model, beta instability or human capital? Premium Model outperforms Premium Labour model?

Soufian, Mona and Horsburgh, Stuart (2010) What drives the Premium Labour Model, beta instability or human capital? Premium Model outperforms Premium Labour model? In: 17th Annual Conference of the Multinational Finance Society, 27-30 June 2010, Barcelona, Spain.

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Official URL: http://www.mfsociety.org/page.php?pageID=116

Abstract

We examine the Conditional Capital Asset Pricing Model of Jagannathan and Wang (1996) using UK data and develop a data driven measure of beta instability risk that is pertinent to the UK stock market. This measure is priced over all time periods covered in this study. In contrast to the view that the main part of the Jagannathan and Wang's model is the inclusion of human capital, however, we find that human capital remains insignificant in most tests. Our results revive the importance of beta instability risk in conditional CAPM of Jagannathan and Wang's model and suggest that the beta instability drives this model.

Item Type: Conference or Workshop Item (Paper)
Subjects: N300 Finance
N900 Others in Business and Administrative studies
Department: Faculties > Business and Law > Newcastle Business School > Accounting and Finance
Depositing User: Helen Pattison
Date Deposited: 03 Oct 2012 15:20
Last Modified: 10 Aug 2015 11:03
URI: http://nrl.northumbria.ac.uk/id/eprint/9371

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