The returns on human capital: good news on Wall Street is bad news on main street
Gespeichert in:
| Beteiligte Personen: | , |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2005
|
| Schriftenreihe: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
11564 |
| Schlagwörter: | |
| Links: | http://papers.nber.org/papers/w11564.pdf |
| Abstract: | "We use a standard single-agent model to conduct a simple consumption growth accounting exercise. Consumption growth is driven by news about current and expected future returns on the market portfolio. The market portfolio includes financial and human wealth. We impute the residual of consumption growth innovations that cannot be attributed to either news about financial asset returns or future labor income growth to news about expected future returns on human wealth, and we back out the implied human wealth and market return process. This accounting procedure only depends on the agent's willingness to substitute consumption over time, not her consumption risk preferences. We find that innovations in current and future human wealth returns are negatively correlated with innovations in current and future financial asset returns, regardless of the elasticity of intertemporal substitution. The evidence from the cross-section of stock returns suggests that the market return we back out of aggregate consumption innovations is a better measure of market risk than the return on the stock market"--National Bureau of Economic Research web site. |
| Umfang: | 63 S. graph. Darst. |
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| 520 | 3 | |a "We use a standard single-agent model to conduct a simple consumption growth accounting exercise. Consumption growth is driven by news about current and expected future returns on the market portfolio. The market portfolio includes financial and human wealth. We impute the residual of consumption growth innovations that cannot be attributed to either news about financial asset returns or future labor income growth to news about expected future returns on human wealth, and we back out the implied human wealth and market return process. This accounting procedure only depends on the agent's willingness to substitute consumption over time, not her consumption risk preferences. We find that innovations in current and future human wealth returns are negatively correlated with innovations in current and future financial asset returns, regardless of the elasticity of intertemporal substitution. The evidence from the cross-section of stock returns suggests that the market return we back out of aggregate consumption innovations is a better measure of market risk than the return on the stock market"--National Bureau of Economic Research web site. | |
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| 650 | 4 | |a Wealth |x Econometric models | |
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Datensatz im Suchindex
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| id | DE-604.BV023591640 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T13:23:16Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016906970 |
| oclc_num | 61724123 |
| open_access_boolean | 1 |
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| owner_facet | DE-521 DE-19 DE-BY-UBM |
| physical | 63 S. graph. Darst. |
| publishDate | 2005 |
| publishDateSearch | 2005 |
| publishDateSort | 2005 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Lustig, Hanno Verfasser (DE-588)124560040 aut The returns on human capital good news on Wall Street is bad news on main street Hanno Lustig ; Stijn Van Nieuwerburgh Cambridge, Mass. National Bureau of Economic Research 2005 63 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11564 "We use a standard single-agent model to conduct a simple consumption growth accounting exercise. Consumption growth is driven by news about current and expected future returns on the market portfolio. The market portfolio includes financial and human wealth. We impute the residual of consumption growth innovations that cannot be attributed to either news about financial asset returns or future labor income growth to news about expected future returns on human wealth, and we back out the implied human wealth and market return process. This accounting procedure only depends on the agent's willingness to substitute consumption over time, not her consumption risk preferences. We find that innovations in current and future human wealth returns are negatively correlated with innovations in current and future financial asset returns, regardless of the elasticity of intertemporal substitution. The evidence from the cross-section of stock returns suggests that the market return we back out of aggregate consumption innovations is a better measure of market risk than the return on the stock market"--National Bureau of Economic Research web site. Ökonometrisches Modell Rate of return Econometric models Wealth Econometric models Nieuwerburgh, Stijn van Verfasser (DE-588)128773294 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11564 (DE-604)BV002801238 11564 http://papers.nber.org/papers/w11564.pdf kostenfrei Volltext |
| spellingShingle | Lustig, Hanno Nieuwerburgh, Stijn van The returns on human capital good news on Wall Street is bad news on main street National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Ökonometrisches Modell Rate of return Econometric models Wealth Econometric models |
| title | The returns on human capital good news on Wall Street is bad news on main street |
| title_auth | The returns on human capital good news on Wall Street is bad news on main street |
| title_exact_search | The returns on human capital good news on Wall Street is bad news on main street |
| title_full | The returns on human capital good news on Wall Street is bad news on main street Hanno Lustig ; Stijn Van Nieuwerburgh |
| title_fullStr | The returns on human capital good news on Wall Street is bad news on main street Hanno Lustig ; Stijn Van Nieuwerburgh |
| title_full_unstemmed | The returns on human capital good news on Wall Street is bad news on main street Hanno Lustig ; Stijn Van Nieuwerburgh |
| title_short | The returns on human capital |
| title_sort | the returns on human capital good news on wall street is bad news on main street |
| title_sub | good news on Wall Street is bad news on main street |
| topic | Ökonometrisches Modell Rate of return Econometric models Wealth Econometric models |
| topic_facet | Ökonometrisches Modell Rate of return Econometric models Wealth Econometric models |
| url | http://papers.nber.org/papers/w11564.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT lustighanno thereturnsonhumancapitalgoodnewsonwallstreetisbadnewsonmainstreet AT nieuwerburghstijnvan thereturnsonhumancapitalgoodnewsonwallstreetisbadnewsonmainstreet |