Research On The Effects Of Unexpected Impacts Of Labor Market Indicators On Stock Pricing

After the outbreak of the new crown epidemic at the end of 2019,it has had a huge impact on my country’s economy,and the uncertainty of the labor market has also transmitted negative sentiment to the stock market.The internal connection between the two has once again attracted extensive research.From the perspective of financial supervision,studying the relationship between labor market shocks and the stock market is helpful for policy making,maintaining the stability of the financial market,and better reducing the impact caused by systemic risks;from the perspective of investors It helps to understand the pricing logic of market assets and strengthen the risk management of securities asset portfolios.Through literature review,it is found that scholars at home and abroad believe that there is a close relationship between unexpected impacts of labor market indicators and stock prices,but the specific transmission logic is still inconclusive,mainly because:(1)Most studies focus on the overall perspective In the macroeconomic environment,the labor market is only one of its components,and there is no separate research on the labor market.(2)The labor market indicators are numerous and complex,and the selection of indicators will lead to differences in results.Therefore,this article explores the relationship between labor market indicators and stock market performance from the perspectives of the whole and the industry,using two representative indicators: the number of new urban jobs(NNE)and the per capita wage income of urban residents(PCI).The research answers the following three core questions:(1)Can labor market indicators represented by the number of new urban jobs(NNE)and the per capita wage income of urban residents(PCI)explain stock price fluctuations?(2)Construct a hedge investment portfolio by buying stocks that are more sensitive to the expected difference in labor indicators and selling stocks that are less sensitive to test whether they can obtain excess returns? Can it better explain the changes in stock yields?(3)What are the differences in the impact of labor market indicators on different industries? And try to apply the empirical results to future market analysis and trading strategies.Based on the above issues,we propose a new method to analyze the role of labor market indicators in the cross-section of expected stock returns.The core of this method is to combine the expected difference of labor market indicators with the stock return,analyze the sensitivity of the change of the return to the shock factor beyond expectations,and record it as β＿lab.We sort the assets according to the size of β＿lab,buy high β＿lab and sell low β＿lab assets to form a hedged investment portfolio to test whether it can obtain excess returns.Using the Fama-Macbeth cross-section regression,we can see whether the designed hedge investment model can better explain the changes in stock returns,and on this basis,we have further studied the impact of labor market indicators on different industries.The main conclusions are as follows:(1)Labor market indicators represented by the number of new urban jobs(NNE)and per capita wage income(PCI)of urban residents are one of the pricing factors in the cross-section of stock returns.(2)Compared with the classic asset pricing model,the hedging investment model has similar or better explanatory power.(3)The hedged investment portfolio constructed by using β＿lab size sorting can generate significant excess returns,with a positive return of about 9.88% per year.(4)Different industries are affected by labor indicators differently.This is due to the upstream and downstream positions of the industry chain and the different attributes of the industry itself.