主讲人：武霁 副教授，新西兰梅西大学

主 题：The Labour Market Friction Risk and the Cross-Section of Stock Return in China

主持人：毛新述教授，北京工商大学研究生院院长

时  间：2023年11月23日（周四）上午10:00-11:30

地  点：西区综合楼二层会议室

主讲人简介

武霁教授，新西兰林肯大学财务学博士，现担任新西兰梅西大学经济与金融学院财务学副教授，博士生导师。曾于2012年至2017年在厦门大学财务管理与会计研究院从事教学和研究工作。武教授的研究领域集中于实证资产定价、行为金融学、中国资本市场、经济政策不确定性对企业决策的影响、和企业社会责任方面的研究。武教授已经发表论文30余篇，其中SSCI期刊论文20余篇。武霁副教授的研究成果发表在FT-50期刊Journal of Business Ethics和财务学顶级期刊Journal of Banking & Finance等国际知名学术期刊。

Abstract

We document a robust positive relationship between a firm’s labour friction beta (LFB) and its expected stock returns in China from 2001 to 2019, contradicting the findings in the US stock markets. The main result is persistent over ten months and consistent when we control for various firm characteristics. Further investigation reveals that the positive labour friction effect is more pronounced in firms with high labour productivity or those in high marketisation regions, attributed to severe consequences stemming from the lack of employees. Our main finding is also more pronounced in firms with poor employee welfare or in regions with low minimum wage levels due to the increased difficulty in filling vacant positions. Also, our results reveal that firms in the regions with more manufacturing companies present a higher labour friction premium. Moreover, the labour friction effect is more significant due to the more intensive recruitment competition in the labour market when the demand exceeds the supply. Concurrently, we observe an amplification of the labour friction effect with establishing high-speed railways in the under-developed regions. Finally, we prove that the labour friction factor significantly prices the stock portfolio returns and could enhance the explanatory power of the traditional asset pricing model.