Countercyclical Labor Income Risk and Portfolio Choices over the Life Cycle

• 成果类型: Article
• 署名作者: Catherine, Sylvain
• 署名单位: University of Pennsylvania
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab136
• 发表日期: 2022
• 页码: 4016
• 关键词: STOCK-MARKET PARTICIPATION; asset allocation; equity premium; consumption; retirement; ambiguity; habit

摘要

I estimate a life cycle model of portfolio choices that incorporates the relationship between market returns and the skewness of idiosyncratic income shocks. The cyclicality of skewness can explain (a) low stock market participation among young households, (b) why the equity share of participants slightly increases until retirement, and (c) why renters invest less in stocks than do homeowners. With a relative risk aversion of 6 and yearly participation cost of $250, the model matches the evolution of wealth, participation, and conditional equity shares over the life cycle. Nevertheless, cyclical skewness increases the equity premium by at most 0.5 percentage points.