Abstract High growth rate of labor hours per worker signals low future stock returns and high future hiring rate. As labor hours are substituted for hiring, hiring becomes less responsive to future discount rate. The growth rate of the number of labor hours per worker does not appear to be related to future profitability. Our findings are largely consistent with a dynamic labor hours asset pricing model that features large asymmetric costs in adjusting the number of workers and small costs in adjusting the number of hours per worker.

Winner stocks have higher changes in sales order backlogs and a sales order backlog factor is significant in explaining various winner minus loser returns and often reduces the αs by big margins. We argue that this factor is a proxy for innovation in demand in the economy and it is likely to relate to expected growth risks and future business conditions.

Abstract Recent studies suggest that the underperformance of IPOs in the post-1970 sample may be a small sample effect or “Peso problem.” That is, IPO underperformance may result from observing too few star performers ex post than were expected ex ante. We develop a model of IPO performance that captures this intuition by allowing returns to be drawn from mixtures of outstanding, benchmark, or poor performing states. We estimate the model under the null of no ex ante average IPO underperformance and construct small sample distributions of various statistics measuring IPO relative performance. We find that small sample biases are extremely unlikely to account for the magnitude of the post-1970 IPO underperformance observed in data.