| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w15709
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| 来源ID | Working Paper 15709
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| Limited Capital Market Participation and Human Capital Risk |
| Jonathan Berk; Johan Walden
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| 发表日期 | 2010-01-28
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| 出版年 | 2010
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| 语种 | 英语
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| 摘要 | The non-tradability of human capital is often cited for the failure of traditional asset pricing theory to explain agents' portfolio holdings. In this paper we argue that the opposite might be true --- traditional models might not be able to explain agent portfolio holdings because they do not explicitly account for the fact that human capital does trade (in the form of labor contracts). We derive wages endogenously as part of a dynamic equilibrium in a production economy. Risk is shared in labor markets because firms write bilateral labor contracts that insure workers, allowing agents to achieve a Pareto optimal allocation even when the span of asset markets is restricted to just stocks and bonds. Capital markets facilitate this risk sharing because it is there that firms offload the labor market risk they assumed from workers. In effect, by investing in capital markets investors provide insurance to wage earners who then optimally choose not to participate in capital markets. The model can produce some of the most important stylized facts in asset pricing: (1) limited asset market participation, (2) the seemingly high equity risk premium, (3) the very large disparity in the volatility of consumption and the volatility of asset prices, and (4) the time dependent correlation between consumption growth and asset returns. |
| 主题 | Financial Economics
; Portfolio Selection and Asset Pricing
; Labor Economics
; Labor Supply and Demand
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| URL | https://www.nber.org/papers/w15709
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/573382
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推荐引用方式
GB/T 7714 |
Jonathan Berk,Johan Walden. Limited Capital Market Participation and Human Capital Risk. 2010.
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文件名：
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w15709.pdf
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格式：
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Adobe PDF
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