Income Risk and Portfolio Choice: An Empirical Study
利用美国青年纵向调查数据，发现永久性收入风险显著降低家庭投资组合中风险资产的占比，而暂时性收入风险则无此影响，为理论提供了实证支持。
ABSTRACT 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.