Income Risk and Portfolio Choice: An Empirical Study

被引：81

作者：

Angerer, Xiaohong ^{[1
]}

Lam, Pok-Sang ^{[2
]}

机构：

[1] Ohio State Univ, Ctr Human Resource Res, Columbus, OH 43210 USA

[2] Ohio State Univ, Dept Econ, Columbus, OH 43210 USA

来源：

JOURNAL OF FINANCE | 2009年 / 64卷 / 02期

关键词：

LABOR INCOME; LIFE-CYCLE; TIME APPROACH; CONSUMPTION; EARNINGS; MODEL; SELECTION; AVERSION;

D O I：

10.1111/j.1540-6261.2009.01456.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper investigates the relationship between portfolio choice and labor income risk in the National Longitudinal Survey of Youth 1979 Cohort. Permanent income risk (variability of shocks to income that have permanent effect) significantly reduces the share of risky assets in the household's portfolio, while transitory income risk (variability of shocks with no lasting effect) does not. This result provides strong evidence that households' portfolio choices respond to labor income risks in a manner consistent with economic theory.

引用

页码：1037 / 1055

页数：19

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