Asset Pricing With Endogenously Uninsurable Tail Risk

• 成果类型: Article
• 署名作者: Ai, Hengjie; Bhandari, Anmol
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; University of Minnesota System; University of Minnesota Twin Cities
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA15142
• 发表日期: 2021
• 页码: 1471-1505
• 关键词: Long-run risks; idiosyncratic risk; dividend yields; cross-section; wage rigidity; aggregate; equilibrium; MODEL; Heterogeneity; returns

摘要

This paper studies asset pricing and labor market dynamics when idiosyncratic risk to human capital is not fully insurable. Firms use long-term contracts to provide insurance to workers, but neither side can fully commit; furthermore, owing to costly and unobservable retention effort, worker-firm relationships have endogenous durations. Uninsured tail risk in labor earnings arises as a part of an optimal risk-sharing scheme. In equilibrium, exposure to the tail risk generates higher aggregate risk premia and higher return volatility. Consistent with data, firm-level labor share predicts both future returns and pass-throughs of firm-level shocks to labor compensation.