Portfolio Choice And Asset Prices : The Importance of Entrepreneurial Risk  

Oleh:

Lucas, Deborah ; Heaton, John

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 55 no. 3 (2000), page 1163-1198.
Topik: PORTFOLIOS; studies; entrepreneurs; models; risk; portfolio investments; statistical analysis
Fulltext: p 1163.pdf (154.24KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.2 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Using cross - sectional data from the SCF and tax model, we show that entrepreneurial income risk has a significant influence on portfolio choice and asset prices. We find that households with high and variable business income hold less walth in stocks than other similarly wealthy households, although they constitute a signficant fraction of the stockholding population. Similarly for non entrepreneurs, holding stock in the firm where one works reduces the portfolio share of other common stocks. Finally, we show that adding proprietary income to a lienar asset pricing model improves its performance over a similar model that includes only wage income.

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