Eiling is with the Rotman School of Management, University of Toronto. I would like to thank the Editor (Campbell Harvey), the Associate Editor, and an anonymous referee for insightful comments and suggestions. I am also grateful to Bruno Gerard, Frans de Roon, and Raymond Kan for many comments and discussions. Furthermore, I thank Lieven Baele, Olesya Grishchenko, Ravi Jagannathan, Frank de Jong, Ralph Koijen, Francis Longstaff, Hanno Lustig, Stijn van Nieuwerburgh, Theo Nijman, Tim Simin, Walter Torous, Kevin Wang, and participants at the 2009 American Finance Association meetings, the 2008 European Finance Association meetings, the 2008 Northern Finance Association meetings, the UCLA Anderson School, Tilburg University, Amsterdam University, the Stockholm School of Economics, HEC Paris, HEC Lausanne, Erasmus University, the University of Rochester, the University of Wisconsin–Madison, Rice University, Georgetown University, Rutgers University, the University of Toronto, the Free University of Amsterdam, and York University for helpful suggestions. I gratefully acknowledge the Award for Best Business Valuation Research Paper at the 2008 NFA meetings. Support for this research has been provided by a grant from the Netherlands Organization for Scientific Research (NWO). An earlier version of this paper was titled “Can Nontradable Assets Explain the Apparent Premium for Idiosyncratic Risk? The Case of Industry–Specific Human Capital.”
Industry-Specific Human Capital, Idiosyncratic Risk, and the Cross-Section of Expected Stock Returns
Version of Record online: 11 JAN 2013
© 2013 the American Finance Association
The Journal of Finance
Volume 68, Issue 1, pages 43–84, February 2013
How to Cite
EILING, E. (2013), Industry-Specific Human Capital, Idiosyncratic Risk, and the Cross-Section of Expected Stock Returns. The Journal of Finance, 68: 43–84. doi: 10.1111/j.1540-6261.2012.01794.x
- Issue online: 11 JAN 2013
- Version of Record online: 11 JAN 2013
- Accepted manuscript online: 27 DEC 2012 12:00AM EST
- Initial submission: June 30, 2009; Final version received: June 20, 2012
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