资产定价与劳动成本占比

doi:10.16381/j.cnki.issn1003-207x.2020.0043

摘要/Abstract

摘要： 根据经典生产函数可知与劳动要素相关的变化应反映到企业价值层面，那么劳动要素对股票市场具有怎样的影响呢？本文以沪深A股为研究对象，基于劳动成本占比探索劳动要素对股票市场定价的影响。通过模型推理和实证分析相结合的方法证明劳动成本占比与企业风险正相关，劳动成本占比具有放大企业风险的杠杆作用。基于风险与收益相补偿的原理，通过回归分析和投资组合分析发现劳动成本占比具有正的股票收益预测能力；采用买多-卖空组合构建劳动成本占比风险因子，通过Fama-MacBeth回归证明劳动成本占比是影响股票收益的风险因子，并且相对Fama-French的五因子不是冗余因子；在三因子模型和五因子模型基础上包含劳动成本占比风险因子的定价模型对股票横截面收益的解释力更好，模型的定价效率更高。本文不仅丰富了股票收益影响因子和劳动成本经济后果领域的文献，而且对投资者投资决策、企业制定薪酬制度、政府颁布劳动保护相关政策和收入分配改革方面具有参考价值。

关键词: 劳动成本占比, 股票收益, 风险因子, 投资组合分析

Abstract: Classical economic theoretical models usually assume that there is no friction in the labor market, so the study of classical asset pricing mainly focuses on capital factors, the study of labor factors is in a relatively "weak" position, however, according to production function, the relevant changes of labor factors should be reflected in the level of enterprise value, so what is the impact of labor factors on stock market?
Based on the stickiness of labor cost, a measure index of the proportion of labor cost is constructed and the influence of the proportion of labor cost on stock market pricing is studied for first time based on China's A-share market from 1999 to 2017. There is a positive correlation between the proportion of labor cost and enterprise risk by theoretical analysis and model derivation, furthermore, it is proved that the proportion of labor cost is positively related to enterprise risk through regression analysis. According to the compensation principle of positive correlation between risk and return,it is found that the proportion of labor cost has positive prediction ability for stock return through regression analysis and portfolio analysis, the impact of labor cost ratio on stock returns is not related to the nature of property rights, R&D investment level, firm competitiveness and industry nature. Inspired by the above conclusions, this paper explores whether the proportion of labor cost can be used as a pricing factor? First, the labor cost risk factor is constructed with the help of long-short portfolio. Fama-MacBeth regression proves that the proportion of labor cost is a risk factor for stock return. Second, the proportion of labor cost is not a redundant factor relative to Fama-French five factors. Finally compared with Fama-French three factor model and five factor model, the pricing models including FF3 factors or FF5 factors and the proportion of labor cost have better explanatory capability on cross-sectional stock returns.
This paper has reference value for the investment decision of investors, the formulation of enterprise salary system, the government's promulgation of labor protection policy and the reform about labor cost. In addition, it enriches the literature about the influencing factors of stock returns and economic consequences of labor cost.

Key words: labor cost ratio, stock return, risk factor, portfolio analysis

中图分类号:

F830

刘维奇, 张燕. 资产定价与劳动成本占比[J]. 中国管理科学, 2020, 28(12): 1-11.

LIU Wei-qi, ZHANG Yan. Asset Pricing and The Proportion of Labor Cost[J]. Chinese Journal of Management Science, 2020, 28(12): 1-11.

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