Hedging labor income risk

• 成果类型: Article
• 署名作者: Betermier, Sebastien; Jansson, Thomas; Parlour, Christine; Walden, Johan
• 署名单位: McGill University; University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.05.001
• 发表日期: 2012
• 页码: 622-639
• 关键词: INVESTMENT DECISIONS; hedging; human capital

摘要

We use a detailed panel data set of Swedish households to investigate the relation between their labor income risk and financial investment decisions. In particular, we relate changes in wage volatility to changes in the portfolio holdings for households that switched industries between 1999 and 2002. We find that households do adjust their portfolio holdings when switching jobs, which is consistent with the idea that households hedge their human capital risk in the stock market. The results are statistically and economically significant. A household going from an industry with low wage volatility to one with high volatility ceteris paribus decreases its portfolio share of risky assets by up to 35%, or $15,575. (C) 2012 Elsevier B.V. All rights reserved.