中华彩票网

1062期 1月2日:Countercyclical Income Risk and Portfolio Choices: Evidence from Sweden(张亚佩,助理教授,上海科技大学)

时间:2019-12-31

【主题】 Countercyclical Income Risk and Portfolio Choices: Evidence from Sweden
【报告人】张亚佩(助理教授,上海科技大学)
【时间】1月2日 星期四 15:30-17:00
【地点】 中华彩票app下载楼701室
【摘要】 Using  Swedish administrative panel data, we show that workers facing higher  left-tail income risk when equity markets perform poorly are less likely  to participate in the stock market and, conditional on participation,  have lower equity shares. We call this measure of income risk ``cyclical  skewness'' and show that it is a better predictor of equity holdings  than other income risk measures such as variance, covariance, and  countercyclical volatility. In line with theory, our findings are  stronger at the beginning of the life-cycle, are not significant for  individuals with substantial financial wealth, and are stronger when we  focus on permanent income shocks. Finally, within their risky portfolio,  workers put less weight on securities generating negative returns when  their own income risk increases.
返回原图
/