【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】 经济学院楼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.
