Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk
利用SCF和税务模型数据，发现创业收入风险显著影响家庭投资组合选择和资产价格，高且波动的商业收入家庭持有较少股票，且将自营收入加入资产定价模型可提升其表现。
Using cross‐sectional data from the SCF and Tax Model, we show that entrepreneurial income risk has a significant influence on portfolio choice and asset prices. We find that households with high and variable business income hold less wealth in stocks than other similarly wealthy households, although they constitute a significant fraction of the stockholding population. Similarly for nonentrepreneurs, holding stock in the firm where one works reduces the portfolio share of other common stocks. Finally, we show that adding proprietary income to a linear asset pricing model improves its performance over a similar model that includes only wage income.