The Equity Premium and the One Percent

• 成果类型: Article
• 署名作者: Toda, Alexis Akira; Walsh, Kieran James
• 署名单位: University of California System; University of California San Diego; University of California System; University of California Santa Barbara
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz121
• 发表日期: 2020
• 页码: 3583
• 关键词: heterogeneous consumers; dynamic equilibrium; idiosyncratic risk; dividend yields; stock returns; UNITED-STATES; asset prices; sample; preferences; INEQUALITY

摘要

We show that in a general equilibrium model with heterogeneity in risk aversion or belief, shifting wealth from an agent who holds comparatively fewer stocks to one who holds more reduces the equity premium. From an empirical view, the rich hold more stocks, so inequality should predict excess stock market returns. Consistent with our theory, we find that when the U.S. top (e.g., 1%) income share rises, subsequent 1-year excess market returns significantly decline. This negative relation is robust to controlling for classic return predictors, predicting out-of-sample, and instrumenting inequality with estate tax rate changes. It also holds in international markets.