Heterogeneous Background Risks and Portfolio Choice: Evidence from Micro-level Data
利用微观数据构建家庭层面的背景风险变量，发现劳动收入、住房价值和商业收入的波动会显著降低家庭参与股市的概率和持股比例，且收入与股票收益的相关性也影响投资决策。
We construct a set of household-level background risk variables to capture the covariance structure of three nonfinancial assets and two financial assets. These risks are in general statistically significant and economically important for a household's stock market participation and stockholdings. A one-standard-deviation increase in background risks reduces the participation probability by 11% and the stockholdings-to-wealth ratio by 4%. The volatilities of labor income, housing value, and business income reduce a household's participation and stockholdings. A household with labor income highly correlated with stock (bond) returns is less (more) likely to invest in stock.