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| Author: | Qin, J. |
| Title: | Human-capital-adjusted capital asset pricing model |
| Journal: | Japanese Economic Review
2002 : JUN, VOL. 53:2, p. 182-198 |
| Index terms: | CAPITAL ASSET PRICING HUMAN CAPITAL RISK |
| Language: | eng |
| Abstract: | While multi-beta models are found to be good approximations for the cross-sectional behaviour in stock prices, they fail to explain why that part of an asset's risk related to human capital is not captured by the asset's market beta. The empirical evidence also provides little justification for the linear relationship between expected returns and human capital betas. This paper addresses these issues with a theoretical examination of the effect of human capital on security prices. |
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