Table A2 Open in new tab Labor mobility...

	Low competition	High competition
A. Full sample
${LM}_{H - L}$ factor
${LM}_{H - L}$	–0.35	–0.16	0.03	0.38	–0.65	–0.09	0.42	1.08
	(–2.72)	(–1.40)	(0.27)	(6.17)	(–3.47)	(–0.61)	(2.32)	(12.84)
MKT and ${LM}_{H - L}$ factors
MKT	0.94	0.94	0.87	–0.07	1.11	1.10	1.15	0.04
	(17.24)	(20.92)	(23.40)	(–1.43)	(15.45)	(10.94)	(22.87)	(0.54)
${LM}_{H - L}$	–0.30	–0.11	0.07	0.37	–0.60	–0.04	0.48	1.08
	(–4.39)	(–2.00)	(1.08)	(6.42)	(–6.55)	(–0.31)	(7.45)	(13.10)

B. All-but-microcaps sample
${LM}_{H - L}$ factor
${LM}_{H - L}$	–0.40	–0.21	–0.17	0.23	–0.39	0.10	0.48	0.87
	(–2.42)	(–1.43)	(–1.14)	(4.68)	(–1.79)	(0.42)	(1.83)	(6.73)
MKT and ${LM}_{H - L}$ factors
MKT	1.13	1.07	1.16	0.03	1.47	1.38	1.36	–0.11
	(19.18)	(32.72)	(24.03)	(0.94)	(19.99)	(13.99)	(24.64)	(–1.34)
${LM}_{H - L}$	–0.34	–0.16	–0.11	0.23	–0.32	0.17	0.55	0.87
	(–3.92)	(–2.13)	(–1.57)	(4.63)	(–3.05)	(1.35)	(4.15)	(6.39)

Low competition

High competition

L M_{L}

L M_{M}

L M_{H}

H–L

L M_{L}

L M_{M}

L M_{H}

H–L

A. Full sample

{LM}_{H - L}

factor

{LM}_{H - L}

–0.35

–0.16

0.03

0.38

–0.65

–0.09

0.42

1.08

(–2.72)

(–1.40)

(0.27)

(6.17)

(–3.47)

(–0.61)

(2.32)

(12.84)

MKT and

{LM}_{H - L}

factors

MKT

0.94

0.87

–0.07

1.11

1.10

1.15

0.04

(17.24)

(20.92)

(23.40)

(–1.43)

(15.45)

(10.94)

(22.87)

(0.54)

{LM}_{H - L}

–0.30

–0.11

0.07

0.37

–0.60

–0.04

0.48

1.08

(–4.39)

(–2.00)

(1.08)

(6.42)

(–6.55)

(–0.31)

(7.45)

(13.10)

B. All-but-microcaps sample

{LM}_{H - L}

factor

{LM}_{H - L}

–0.40

–0.21

–0.17

0.23

–0.39

0.10

0.48

0.87

(–2.42)

(–1.43)

(–1.14)

(4.68)

(–1.79)

(0.42)

(1.83)

(6.73)

MKT and

{LM}_{H - L}

factors

MKT

1.13

1.07

1.16

0.03

1.47

1.38

1.36

–0.11

(19.18)

(32.72)

(24.03)

(0.94)

(19.99)

(13.99)

(24.64)

(–1.34)

{LM}_{H - L}

–0.34

–0.16

–0.11

0.23

–0.32

0.17

0.55

0.87

(–3.92)

(–2.13)

(–1.57)

(4.63)

(–3.05)

(1.35)

(4.15)

(6.39)

	Low competition	High competition
A. Full sample
${LM}_{H - L}$ factor
${LM}_{H - L}$	–0.35	–0.16	0.03	0.38	–0.65	–0.09	0.42	1.08
	(–2.72)	(–1.40)	(0.27)	(6.17)	(–3.47)	(–0.61)	(2.32)	(12.84)
MKT and ${LM}_{H - L}$ factors
MKT	0.94	0.94	0.87	–0.07	1.11	1.10	1.15	0.04
	(17.24)	(20.92)	(23.40)	(–1.43)	(15.45)	(10.94)	(22.87)	(0.54)
${LM}_{H - L}$	–0.30	–0.11	0.07	0.37	–0.60	–0.04	0.48	1.08
	(–4.39)	(–2.00)	(1.08)	(6.42)	(–6.55)	(–0.31)	(7.45)	(13.10)

B. All-but-microcaps sample
${LM}_{H - L}$ factor
${LM}_{H - L}$	–0.40	–0.21	–0.17	0.23	–0.39	0.10	0.48	0.87
	(–2.42)	(–1.43)	(–1.14)	(4.68)	(–1.79)	(0.42)	(1.83)	(6.73)
MKT and ${LM}_{H - L}$ factors
MKT	1.13	1.07	1.16	0.03	1.47	1.38	1.36	–0.11
	(19.18)	(32.72)	(24.03)	(0.94)	(19.99)	(13.99)	(24.64)	(–1.34)
${LM}_{H - L}$	–0.34	–0.16	–0.11	0.23	–0.32	0.17	0.55	0.87
	(–3.92)	(–2.13)	(–1.57)	(4.63)	(–3.05)	(1.35)	(4.15)	(6.39)

Table A2

Open in new tab

Labor mobility and market factor loadings of double-sorted portfolios

	Low competition				High competition
	$L M_{L}$	$L M_{M}$	$L M_{H}$	H–L	$L M_{L}$	$L M_{M}$	$L M_{H}$	H–L
A. Full sample
${LM}_{H - L}$ factor
${LM}_{H - L}$	–0.35	–0.16	0.03	0.38	–0.65	–0.09	0.42	1.08
	(–2.72)	(–1.40)	(0.27)	(6.17)	(–3.47)	(–0.61)	(2.32)	(12.84)
MKT and ${LM}_{H - L}$ factors
MKT	0.94	0.94	0.87	–0.07	1.11	1.10	1.15	0.04
	(17.24)	(20.92)	(23.40)	(–1.43)	(15.45)	(10.94)	(22.87)	(0.54)
${LM}_{H - L}$	–0.30	–0.11	0.07	0.37	–0.60	–0.04	0.48	1.08
	(–4.39)	(–2.00)	(1.08)	(6.42)	(–6.55)	(–0.31)	(7.45)	(13.10)

B. All-but-microcaps sample
${LM}_{H - L}$ factor
${LM}_{H - L}$	–0.40	–0.21	–0.17	0.23	–0.39	0.10	0.48	0.87
	(–2.42)	(–1.43)	(–1.14)	(4.68)	(–1.79)	(0.42)	(1.83)	(6.73)
MKT and ${LM}_{H - L}$ factors
MKT	1.13	1.07	1.16	0.03	1.47	1.38	1.36	–0.11
	(19.18)	(32.72)	(24.03)	(0.94)	(19.99)	(13.99)	(24.64)	(–1.34)
${LM}_{H - L}$	–0.34	–0.16	–0.11	0.23	–0.32	0.17	0.55	0.87
	(–3.92)	(–2.13)	(–1.57)	(4.63)	(–3.05)	(1.35)	(4.15)	(6.39)

	Low competition				High competition
	$L M_{L}$	$L M_{M}$	$L M_{H}$	H–L	$L M_{L}$	$L M_{M}$	$L M_{H}$	H–L
A. Full sample
${LM}_{H - L}$ factor
${LM}_{H - L}$	–0.35	–0.16	0.03	0.38	–0.65	–0.09	0.42	1.08
	(–2.72)	(–1.40)	(0.27)	(6.17)	(–3.47)	(–0.61)	(2.32)	(12.84)
MKT and ${LM}_{H - L}$ factors
MKT	0.94	0.94	0.87	–0.07	1.11	1.10	1.15	0.04
	(17.24)	(20.92)	(23.40)	(–1.43)	(15.45)	(10.94)	(22.87)	(0.54)
${LM}_{H - L}$	–0.30	–0.11	0.07	0.37	–0.60	–0.04	0.48	1.08
	(–4.39)	(–2.00)	(1.08)	(6.42)	(–6.55)	(–0.31)	(7.45)	(13.10)

B. All-but-microcaps sample
${LM}_{H - L}$ factor
${LM}_{H - L}$	–0.40	–0.21	–0.17	0.23	–0.39	0.10	0.48	0.87
	(–2.42)	(–1.43)	(–1.14)	(4.68)	(–1.79)	(0.42)	(1.83)	(6.73)
MKT and ${LM}_{H - L}$ factors
MKT	1.13	1.07	1.16	0.03	1.47	1.38	1.36	–0.11
	(19.18)	(32.72)	(24.03)	(0.94)	(19.99)	(13.99)	(24.64)	(–1.34)
${LM}_{H - L}$	–0.34	–0.16	–0.11	0.23	–0.32	0.17	0.55	0.87
	(–3.92)	(–2.13)	(–1.57)	(4.63)	(–3.05)	(1.35)	(4.15)	(6.39)

The table reports risk factor loadings from the time-series regressions of portfolio excess returns (in Table 3) on: (1) a constant and the (high minus low) labor mobility factor of Donangelo (2014), denoted by ${LM}_{H - L}$ ⁠; and (2) a constant, ${LM}_{H - L}$ ⁠, and the value-weighted market excess return (MKT) factor. Details on ${LM}_{H - L}$ can be found in Donangelo (2014). The full-sample includes all NYSE-, AMEX-, and NASDAQ-listed nonfinancial and nonregulated ordinary common stocks for which both nonmissing product market competition and labor mobility estimates in a given year t are available. The all-but-microcaps sample excludes stocks with an end-of-June market value of equity below the 20th percentile of the NYSE market capitalization distribution and the remaining stocks are used to compute the breakpoints for product market competition and labor mobility separately. H–L is the high-minus-low portfolio. Numbers in parentheses are t-statistics adjusted following Newey and West (1987). The sample period is from January 1990 to December 2016. See also the legends to Tables 1 and 3.

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