This paper shows that the impact of labor income risk on the cross-section of expected stock returns depends crucially on the horizon. Using a flexible empirical approach that allows us to include multiple horizons simultaneously, we find robust evidence that the two- to four-year horizon...

Sectoral labor reallocation shocks change the optimal allocation of workers across industries. We find that a proxy for this type of labor market shocks has very strong and robust predictive power for future stock market returns. In predictive regressions, the one-year out-of-sample R2 is as...

While homeownership provides consumption benefits, housing is risky. Using zip code housing returns, we document that homeowners are compensated for bearing housing risk. Our sample covers more than 9,000 zip codes across 135 metropolitan statistical areas (MSAs), representing almost 70% of the...