Risk and Return in the Presence of Human Capital: Some Evidence

Shijin, Santhakumar and Kumar, Arun G and Bhattacharyya, Sangamitra (2001) Risk and Return in the Presence of Human Capital: Some Evidence. Journal of International Business & Economics, 7 (1). pp. 18-31.

Text A105_Shijin_3.pdf Restricted to Registered users only Download (9MB)

Abstract

This study examines the role of human capital along with other factors in predicting stock and bond returns. In addition we also check the influence of factors proposed by Fama and French (1992) along with human capital. We propose vector autoregressive model, Granger-causality tests and variance decomposition analysis to find the nature of relationship. Results of our analysis suggest that human capital is a significant factor in the prediction of stock returns. With the inclusion of human capital the explanatory power of the variables improves remarkably. Human capital has a significant causal relationship with stock returns; in the presence of Fama- French factors it shows a causal relationship with market risk. The results of the study will provide better insights to investors in understanding the risk return characteristics that exist among the factors which affect stock prices

Item Type:	Article
Uncontrolled Keywords:	Risk management; Human Capital; Some Evidence
Subjects:	Human Resource Management
Divisions:	Finance and Strategy
Depositing User:	Mr. Muralidhara D
Date Deposited:	30 Nov 2018 10:49
Last Modified:	30 Nov 2018 10:49
URI:	http://tapmi.informaticsglobal.com/id/eprint/509

Actions (login required)

View Item

Downloads