Capital Share Risk in US Asset Pricing

• 成果类型: Article
• 署名作者: Lettau, Martin; Ludvigson, Sydney C.; Ma, Sai
• 署名单位: University of California System; University of California Berkeley; New York University; Federal Reserve System - USA
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12772
• 发表日期: 2019
• 页码: 1753-1792
• 关键词: consumption; returns; equilibrium

摘要

A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory power for expected returns across a range of equity characteristic portfolios and nonequity asset classes, with risk price estimates that are of the same sign and similar in magnitude. Positive exposure to capital share risk earns a positive risk premium, commensurate with recent asset pricing models in which redistributive shocks shift the share of income between the wealthy, who finance consumption primarily out of asset ownership, and workers, who finance consumption primarily out of wages andsalaries.