Countercyclical Income Risk and Portfolio Choices: Evidence from Sweden

• 成果类型: Article
• 署名作者: Catherine, Sylvain; Sodini, Paolo; Zhang, Yapei
• 署名单位: University of Pennsylvania; Stockholm School of Economics; ShanghaiTech University; ShanghaiTech University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13341
• 发表日期: 2024
• 页码: 1755-1788
• 关键词: rare disasters; earnings inequality; life-cycle; consumption; STOCK; US; mobility; MARKETS; premium; workers

摘要

Using Swedish administrative panel data, we document that workers facing higher left-tail income risk when equity markets perform poorly have lower portfolio equity share. In line with theory, the relationship between cyclical skewness and stock holdings increases with the share of human capital in a worker's total wealth and vanishes as workers get closer to retirement. Cyclical skewness also predicts portfolio differences within pairs of identical twins. Our findings show that households hedge against correlated tail risks, an important mechanism in asset pricing and portfolio choice models.