Capital Share Risk in U.S. Asset Pricing
研究发现，基于总收入中资本份额增长的一个单一宏观经济因子，能显著解释多种股票组合和非股票资产类别的预期收益，且风险价格符号一致、大小相近。正暴露于资本份额风险获得正的风险溢价，这与近期资产定价模型一致，其中再分配冲击改变了富裕阶层（主要靠资产收入消费）和工人（主要靠工资消费）之间的收入份额。
ABSTRACT A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory power for expected returns across a range of equity characteristic portfolios and nonequity asset classes, with risk price estimates that are of the same sign and similar in magnitude. Positive exposure to capital share risk earns a positive risk premium, commensurate with recent asset pricing models in which redistributive shocks shift the share of income between the wealthy, who finance consumption primarily out of asset ownership, and workers, who finance consumption primarily out of wages and salaries.