Abstract:
This paper estimates the labor investment efficiency and investigates its influence on the stock returns. The study shows that: (1) The average return of high labor investment efficiency stocks is higher than that of low investment stocks, and by running Fama - MacBeth regression, we learn that labor investment efficiency is an insignificant risk factor that systematically influence stock returns. (2) Improving enterprise labor investment efficiency can increase the current stock returns, especially for the private enterprises. (3) The labor-intensive enterprises improve more significant on the stock returns. (4) This paper uses the labor contract law as instrumental variable to solve the latent endogenous problem, and we find the conclusion remains unchanged. On the whole, this paper has a new angle exploring the influence factors on the asset pricing, and has a clearly policy implications to the regulators, that is, to better optimize the resources distribution of employment, both the employment rate and enterprise labor investment efficiency should be taken into consideration concurrently.
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