全球智库信息集成服务系统(G2TT): Asset Pricing with Endogenously Uninsurable Tail Risk

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w24972
来源ID	Working Paper 24972
	Asset Pricing with Endogenously Uninsurable Tail Risk
	Hengjie Ai; Anmol Bhandari
发表日期	2018-09-03
出版年	2018
语种	英语
摘要	This paper studies asset pricing and labor market dynamics in a setting in which idiosyncratic risk in human capital is not fully insurable. Firms use long-term contracts to provide insurance to workers, but neither side can fully commit; furthermore, owing to costly and unobservable retention effort, worker-firm relationships have endogenous durations. Uninsured tail risk in labor earnings arises as a part of an optimal risk-sharing scheme. In equilibrium, exposure to the tail risk generates higher aggregate risk premia and higher return volatility. Consistent with data, firm-level labor share predicts both future returns and pass-throughs of firm-level shocks to labor compensation.
主题	Macroeconomics ; Consumption and Investment ; Financial Economics ; Portfolio Selection and Asset Pricing ; Labor Economics ; Labor Compensation
URL	https://www.nber.org/papers/w24972
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/582646
推荐引用方式 GB/T 7714	Hengjie Ai,Anmol Bhandari. Asset Pricing with Endogenously Uninsurable Tail Risk. 2018.