反周期收入风险与投资组合选择：来自瑞典的证据

IF 7.6 1区经济学 Q1 BUSINESS, FINANCE

Journal of Finance Pub Date : 2024-04-08 DOI:10.1111/jofi.13341

SYLVAIN CATHERINE, PAOLO SODINI, YAPEI ZHANG

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引用次数: 0

摘要

利用瑞典行政面板数据，我们发现当股票市场表现不佳时，面临较高左尾收入风险的工人会降低投资组合中的股票份额。与理论相符的是，周期偏度与股票持有量之间的关系随着人力资本在工人总财富中所占比例的增加而增加，并随着工人临近退休而消失。周期偏度还能预测同卵双胞胎的投资组合差异。我们的研究结果表明，家庭可以对冲相关的尾部风险，这是资产定价和投资组合选择模型中的一个重要机制。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Countercyclical Income Risk and Portfolio Choices: Evidence from Sweden

Using Swedish administrative panel data, we document that workers facing higher left-tail income risk when equity markets perform poorly have lower portfolio equity share. In line with theory, the relationship between cyclical skewness and stock holdings increases with the share of human capital in a worker's total wealth and vanishes as workers get closer to retirement. Cyclical skewness also predicts portfolio differences within pairs of identical twins. Our findings show that households hedge against correlated tail risks, an important mechanism in asset pricing and portfolio choice models.

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来源期刊

Journal of Finance Multiple-

CiteScore

12.90

自引率

2.50%

发文量

期刊介绍： The Journal of Finance is a renowned publication that disseminates cutting-edge research across all major fields of financial inquiry. Widely regarded as the most cited academic journal in finance, each issue reaches over 8,000 academics, finance professionals, libraries, government entities, and financial institutions worldwide. Published bi-monthly, the journal serves as the official publication of The American Finance Association, the premier academic organization dedicated to advancing knowledge and understanding in financial economics. Join us in exploring the forefront of financial research and scholarship.