Rich Pickings? Risk, Return, and Skill in Household Wealth
| Autor: | Laurent E. Calvet, Laurent Bach, Paolo Sodini |
|---|---|
| Rok vydání: | 2020 |
| Předmět: |
Economics and Econometrics
050208 finance business.industry Equity premium puzzle 05 social sciences Net worth Distribution (economics) 0502 economics and business Systematic risk Economics Expected return National wealth Statistical dispersion Balance sheet Demographic economics 050207 economics business |
| Zdroj: | American Economic Review. 110:2703-2747 |
| ISSN: | 0002-8282 |
| DOI: | 10.1257/aer.20170666 |
| Popis: | We investigate wealth returns on an administrative panel containing the disaggregated balance sheets of Swedish residents. The expected return on household net wealth is strongly persistent, determined primarily by systematic risk, and increasing in net worth, exceeding the risk-free rate by the size of the equity premium for households in the top 0.01 percent. Idiosyncratic risk is transitory but generates substantial long-term dispersion in returns in top brackets. Systematic and idiosyncratic risk both drive the cross-sectional distribution of the geometric average return over a generation. Furthermore, wealth returns explain most of the historical increase in top wealth shares. (JEL D31, G11, G51) |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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