Consumption-Income Sensitivity and Portfolio Choice
研究发现家庭消费对当前收入过度敏感，且收入对冲证据不足。通过修改Viceira(2001)的理论框架，揭示了消费-收入敏感性通过收入对冲渠道影响家庭资产配置，其与收入增长和股市回报相关性的交互作用是解释家庭持股的重要变量。
Contrary to the predictions of traditional life-cycle models, household consumption is excessively sensitive to current income. Similarly, weak evidence of income hedging runs against standard portfolio theory. We link these two puzzles by modifying the theoretical framework of Viceira (2001) to study how consumption-income sensitivities generated by income in the utility function affect households' portfolio choices. Empirically, we find that consumption-income sensitivities affect asset allocation through the income hedging channel. In particular, we show that the interaction between consumption-income sensitivity and the correlation of income growth to stock market returns is an important explanatory variable for households' stock market holdings. Received October 20, 2016; editorial decision April 25, 2018 by Editor Wayne Ferson.