Inside information and the own company stock puzzle
成果类型：
Article; Proceedings Paper
署名作者：
Van Nieuwerburgh, Stijn; Veldkamp, Laura
署名单位：
New York University
刊物名称：
JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
ISSN/ISSBN：
1542-4766
DOI：
10.1162/jeea.2006.4.2-3.623
发表日期：
2006
页码：
623-633
关键词：
摘要：
U.S. investors allocate 30-40% of their financial asset portfolio in the stock of the company they work for. Such a portfolio flies in the face of standard portfolio theory, which prescribes that an investor should hold less of a financial asset that is positively correlated with her undiversified labor income. Nevertheless, we propose a rational explanation that prescribes a long position in own company stock. Precisely because the own company stock is positively correlated with the investor's labor income, any information the investor learns about her earnings is a partial information advantage in her own company stock. When confronted with a choice of what information to acquire, employees may choose to learn about their own firm. Learning lowers the employee's risk of holding own-firm equity, which raises its risk-adjusted returns and makes a long position optimal.
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