Rich Pickings? Risk, Return, and Skill in Household Wealth
利用瑞典居民行政面板数据，发现家庭净财富的预期回报主要由系统性风险决定，且随财富增加而上升，前0.01%家庭的回报超过无风险利率一个股权溢价。
We investigate wealth returns on an administrative panel containing the disaggregated balance sheets of Swedish residents. The expected return on household net wealth is strongly persistent, determined primarily by systematic risk, and increasing in net worth, exceeding the risk-free rate by the size of the equity premium for households in the top 0.01 percent. Idiosyncratic risk is transitory but generates substantial long-term dispersion in returns in top brackets. Systematic and idiosyncratic risk both drive the cross-sectional distribution of the geometric average return over a generation. Furthermore, wealth returns explain most of the historical increase in top wealth shares.