Nonexistent Moments of Earnings Growth
针对传统盈利风险度量依赖方差等矩的局限，提出稳健条件帕累托指数作为新度量，发现矩常不存在、尾部风险随生命周期上升、在职者风险更高，且模式在衰退和增长期均存在。
ABSTRACT This study addresses the limitations of traditional earnings risk measures, which often rely on moments such as variance, skewness, and kurtosis. For heavy‐tailed distributions, these moments may not exist, challenging such analyses. We propose robust conditional Pareto exponents as novel measures of earnings risk, with accompanying estimation and inference methods. Using UK NESPD and US PSID data, we find (1) moments often fail to exist; (2) tail risk rises over the life cycle; (3) job stayers face higher tail risk; and (4) these patterns persist in both the 2007–2008 recession and the 2015–2016 growth period.