The Human Capital That Matters: Expected Returns and High-Income Households

• 成果类型: Article
• 署名作者: Campbell, Sean D.; Delikouras, Stefanos; Jiang, Danling; Korniotis, George M.
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Miami; State University of New York (SUNY) System; Stony Brook University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw048
• 发表日期: 2016
• 页码: 2523
• 关键词: cross-section; Consumption risk; portfolio choice; conditional capm; PRICING-MODELS; asset prices; premia; tests

摘要

We propose a novel human capital model that decomposes aggregate income risk into high-and low-income risk. We find that high-income risk is priced, while low-income risk is insignificant. The high-income factor alone explains 77% of the cross-sectional variation in the twenty-five size and book-to-market portfolios, earns a risk premium of about 7% per year, and its pricing power extends to the full cross-section of individual stocks. It is also related to the value factor, suggesting that the value premium might be compensation for income risk. Overall, our evidence indicates that high-income risk is an important macroeconomic risk factor.