The Human Capital That Matters: Expected Returns and High-Income Households
提出一个新的人力资本模型，将总体收入风险分解为高收入和低收入风险，发现高收入风险被定价，能解释77%的股票组合收益差异，年风险溢价约7%，且与价值因子相关。
We propose a novel human capital model that decomposes aggregate income risk into high- and low-income risk. We find that high-income risk is priced, while low-income risk is insignificant. The high-income factor alone explains 77% of the cross-sectional variation in the twenty-five size and book-to-market portfolios, earns a risk premium of about 7% per year, and its pricing power extends to the full cross-section of individual stocks. It is also related to the value factor, suggesting that the value premium might be compensation for income risk. Overall, our evidence indicates that high-income risk is an important macroeconomic risk factor. Received April 21, 2010; accepted January 25, 2016, by Editor Geert Bekaert.