劳动杠杆的定价效力:来自中国A股市场的证据

本文选取中国沪深A股2002年至2018年的季度数据,从公司层面考察了劳动杠杆(由劳动力成本粘性特征导致的企业利润变化率大于产出变化率的经济现象,可理解为不考虑固定成本时经营杠杆的特殊表现形式)对股票截面收益率的定价效力。结果发现:(1)劳动杠杆对截面收益率具有显著负向影响,具体表现为高劳动杠杆公司的收益率低于低劳动杠杆公司的收益率;(2)该影响在控制了公司特征后依然显著存在;(3)该影响在不同经济周期下表现不同:在经济下行期,负向定价效力更为明显。进一步地,本文通过生产率冲击和工资冲击这两个风险来源探究了劳动杠杆的作用机制。结果表明,劳动杠杆一方面通过生产率冲击产生显著正向影响,另一方面通过工资冲击产生显著负向影响。但后者的影响程度显著强于前者,两者的相对重要性取决于上市公司的技术水平。相关结果能够为公司应对劳动力成本上升、理解劳动杠杆的定价机制及相关投资策略的制定和风险管理等提供经验支持。

The Pricing Effect of Labor Leverage:Evidence from Chinese A-Share Market

In recent years, surging labor costs in China, accompanied by the erosion of the demographic bonus, have received vast attention from researchers. Studies underline the effects of rising labor costs on firms' performance from the perspectives of technological innovation, factor substitution, labor productivity, wage stickiness, etc. The roles of labor supply, labor quality and human capital in economic development and production efficiency are also amply discussed. However, the relationship between labor costs and asset prices in the Chinese A-share market is rarely considered in the literature.
There are many studies of the relationship between labor and stock prices in the European and U.S. markets. However, findings from developed markets are not applicable to the Chinese market because of the remarkable distinctions between their market microstructures.
Considering China's rising labor costs and structural transformation of enterprises, we believe it is necessary to examine the relationship between China's labor market and asset prices from a micro-perspective, and more importantly, to analyze in depth whether there are differences in the pricing effectiveness of labor leverage and its mechanism in the Chinese and U.S. markets. If there are differences, the underlying causes of the differences require exploration. Exploring these issues can provide an important guide for the pricing mechanism of China's A-share market, the rational allocation of production factors, the transformation of corporate growth and the optimization and upgrading of corporate production structure.
From the wage stickiness perspective of Belo et al. (2014), we examine the relationship between micro labor markets and cross-sectional stock returns in China and explore the pricing power of labor leverage in the A-share market. Our empirical results show that firms with low labor leverage outperform firms with high labor leverage, and that the labor leverage discount remains stable after controlling other relevant variables. Furthermore, we explore the pricing performance of labor leverage in different economic states. The results show that the pricing power of labor leverage is heterogeneous; that is, the negative returns predictability of labor leverage is more profound in an economic downturn. Finally, we further explore the mechanisms in the pricing power of labor leverage relative to two sources of risk, productivity shocks and wage shocks. The results show that labor leverage has a significant positive impact on stock returns through productivity shocks on the one hand and a significant negative impact through wage shocks on the other. The latter effect is significantly stronger than the former, and their relative importance depends on the technology level of listed companies.
Our contributions can be summarized as follows. First, we uncover a pricing factor from the factor endowments perspective: labor leverage. This differs from mainstream asset pricing that focuses on financial information or operating performance. We examine the pricing effectiveness of labor leverage in light of its relative importance as a factor of production and its relative role in developing countries with low levels of technology and capital, while also considering the Chinese context and the significant differences in the labor shares of China and the United States. Second, compared with the positive pricing effect of labor leverage in the U.S. market (Donangelo et al., 2019), this paper finds that labor leverage has a significant negative pricing effect on cross-sectional returns in the Chinese A-share market. The mechanism by which labor leverage plays a dominant role also differs significantly from that in the U.S. market, mainly because of the different technology levels of listed companies in the two countries. The related results enrich explanation of the labor leverage mechanism, further improving the theory of labor factor pricing and providing a theoretical basis for China and other developing countries to rely on the technological level of micro enterprises to adjust the industrial structure of the economy and promote high-level economic development. Third, we examine the pricing effectiveness of labor leverage at various stages of the economic cycle. The relevant findings help clarify the differences in the stage characteristics and mechanisms of labor leverage shocks in different periods and provide an empirical basis for the formulation and adjustment of labor-related policies.