JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS Vol. 51, No. 4, Aug. 2016, pp. 1111–1133

劳动收入、相对财富与横截面股票收益

作者：Juan-Pedro Gómez (Instituto de Empresa (IE) Business School), Richard Priestley (Norwegian Business School), Fernando Zapatero (University of Southern California)

摘要：已有金融文献研究了劳动收入和横截面股票收益之间的关系。一个可能的解释是投资者的对冲决策与他们的相对财富有关。这意味着股票收益的负风险溢价与局部不可分散的财富相关，因为投资者愿意为股票投入更多以帮助其达到对冲目的。我们发现了与这些规律一致的证据。此外，我们的研究还表明，不同地理区域的效应各不相同，这取决于由劳动收入代表的不可分散财富的规模和可变性。

Labor Income, Relative Wealth Concerns, and the Cross Section of Stock Returns

Juan-Pedro Gómez (Instituto de Empresa (IE) Business School), Richard Priestley (Norwegian Business School), Fernando Zapatero (University of Southern California)

ABSTRACT

The finance literature documents a relation between labor income and the cross section of stock returns. One possible explanation for this is the hedging decisions of investors with relative wealth concerns. This implies a negative risk premium associated with stock returns correlated with local undiversifiable wealth because investors are willing to pay more for stocks that help their hedging goals. We find evidence that is consistent with these regularities. In addition, we show that the effect varies across geographic areas depending on the size and variability of undiversifiable wealth, proxied by labor income.

原文链接：https://www.cambridge.org/core/services/aop-cambridge-core/content/view/8C6BA6D3AA08C2CDA1F76B6D202DD9F7/S002210901600048Xa.pdf/labor-income-relative-wealth-concerns-and-the-cross-section-of-stock-returns.pdf

翻译：陈然