Countercyclical Income Risk and Portfolio Choices: Evidence from Sweden
利用瑞典行政面板数据，发现面临股市表现不佳时左尾收入风险更高的工人，其投资组合中股票占比更低，且该关系随人力资本占比增加而增强，随退休临近而消失。
ABSTRACT Using Swedish administrative panel data, we document that workers facing higher left‐tail income risk when equity markets perform poorly have lower portfolio equity share. In line with theory, the relationship between cyclical skewness and stock holdings increases with the share of human capital in a worker's total wealth and vanishes as workers get closer to retirement. Cyclical skewness also predicts portfolio differences within pairs of identical twins. Our findings show that households hedge against correlated tail risks, an important mechanism in asset pricing and portfolio choice models.