Rich Pickings? Risk, Return, and Skill in Household Wealth

• 成果类型: Article
• 署名作者: Bach, Laurent; Calvet, Laurent E.; Sodini, Paolo
• 署名单位: ESSEC Business School; Universite Catholique de Lille; EDHEC Business School; Centre for Economic Policy Research - UK; Stockholm School of Economics
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20170666
• 发表日期: 2020
• 页码: 2703-2747
• 关键词: tax; INVESTMENT; MARKET; entrepreneurship; prices; CHOICE

摘要

We investigate wealth returns on an administrative panel containing the disaggregated balance sheets of Swedish residents. The expected return on household net wealth is strongly persistent, determined primarily by systematic risk, and increasing in net worth, exceeding the risk-free rate by the size of the equity premium for households in the top 0.01 percent. Idiosyncratic risk is transitory but generates substantial long-term dispersion in returns in top brackets. Systematic and idiosyncratic risk both drive the cross-sectional distribution of the geometric average return over a generation. Furthermore, wealth returns explain most of the historical increase in top wealth shares.