Income Insurance and the Equilibrium Term Structure of Equity

• 成果类型: Article
• 署名作者: Marfe, Roberto
• 署名单位: Collegio Carlo Alberto
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12508
• 发表日期: 2017
• 页码: 2073-2130
• 关键词: Long-run risks; asset prices; Return predictability; stock returns; consumption; BEHAVIOR; premium; shocks; firm; unemployment

摘要

Output, wages, and dividends feature term structures of variance ratios that are respectively flat, increasing, and decreasing. Income insurance from shareholders to workers explains these term structures. Risk-sharing smooths wages but only concerns transitory risk and hence enhances short-run dividend risk. As a result, actual labor-share variation largely forecasts the risk, premium, and slope of dividend strips. A simple general equilibrium model in which labor rigidity affects dividend dynamics and the price of short-run risk reconciles standard asset pricing facts with the term structures of the equity premium, volatility, and macroeconomic variables, which are at odds in leading models.