Asset Pricing With Endogenously Uninsurable Tail Risk
研究了当人力资本的特质性风险无法完全保险时，企业通过长期合同提供保险但双方无法完全承诺，导致劳动收入出现不可保险的尾部风险，进而影响资产定价和劳动力市场动态。
This paper studies asset pricing and labor market dynamics when idiosyncratic risk to human capital is not fully insurable. Firms use long‐term contracts to provide insurance to workers, but neither side can fully commit; furthermore, owing to costly and unobservable retention effort, worker‐firm relationships have endogenous durations. Uninsured tail risk in labor earnings arises as a part of an optimal risk‐sharing scheme. In equilibrium, exposure to the tail risk generates higher aggregate risk premia and higher return volatility. Consistent with data, firm‐level labor share predicts both future returns and pass‐throughs of firm‐level shocks to labor compensation.