This paper explores asset pricing implications of unemployment risk from sectoral shifts. I proxy for this risk using …-term component, consistent with the hypothesis that CID is a proxy for unemployment risk from sectoral shifts …

returns, to measure systematic risk. However, empirical measures of earnings beta based on either log-linearizing the return … systematic risk or are empirically associated with returns, and find evidence in support of the construct validity of an earnings … be suitable for future researchers requiring a measure of systematic risk …