| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12628 |
| DP12628 Capital Share Risk in U.S. Asset Pricing | |
| Martin Lettau; Sydney Ludvigson; Sai Ma | |
| 发表日期 | 2018-01-21 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | A single macroeconomic factor based on growth in the capital share of aggregate income exhibits signiÖcant explanatory power for expected returns across a range of equity characteristic portfolios and non-equity 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 Önance consumption primarily out of asset ownership, and workers, who Önance consumption primarily out of wages and salaries. |
| 主题 | Financial Economics ; Macroeconomics and Growth |
| 关键词 | Value premium Capital share Labor share Inequality |
| URL | https://cepr.org/publications/dp12628 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541440 |
| 推荐引用方式 GB/T 7714 | Martin Lettau,Sydney Ludvigson,Sai Ma. DP12628 Capital Share Risk in U.S. Asset Pricing. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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