Using Financial Assets to Hedge Labor Income Risks: Estimating the Benefits

By Steven J. Davis, P. Willen. 2000

150 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/397d350e2f28f5f0e70b95b605ff04d2951c0689

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Citations in the corpus

Portfolio Choice in the Presence of Housing (2005, unknown): “This would be particularly true if income shocks were positively correlated with stock returns as shown by Heaton and Lucas (2000a) and Cocco, Gomes and Maenhout (2004), and as estimated by Davis and Willen (2000) for some cohorts of the US population.”
Hedging, Familiarity and Portfolio Choice (2006, unknown): “Nonfinancial income may include labor income (Davis and Willen 2000; Haliassos and Michaelides 2002) and entrepreneurial income (Heaton and Lucas 2000; Polkovnichenko Hedging, Familiarity and Portfolio Choice 635 2002).”
Chapter 14 The equity premium in retrospect (2003, unknown): “This is empirically the case, as documented by Davis and Willen (2000).”
Occupation-Level Income Shocks and Asset Returns: Their Covariance and Implications for Portfolio Choice (2013, unknown): “We explore the matter in Davis et al. (2000).”
Heterogeneity and Portfolio Choice: Theory and Evidence (2004, background): “However, Davis and Willen (2000a) find little evidence that occupation-level income innovations are correlated with aggregate equity returns.”
Dynamic asset allocation with stochastic income and interest rates. (2010, unknown): “Davis and Willen (2000) find that – depending on the individuals sex, age, and educational level – the correlation between aggregate stock market returns and labor income shocks is between -0.25 and 0.3, while the correlation between industry-specific stock returns and labor income shocks is…”
Perception of Job Instability in Europe (2004, background): “For example, Davis and Willen (1999) have studied the correlation between earnings shocks and asset returns in the context of the U.”
Borrowing Costs and the Demand for Equity over the Life Cycle (2006, unknown): “2 Davis and Willen (2000) present evidence of nonzero correlations between labor income shocks and equity returns, and they consider the implications for life cycle portfolio choice. Haliassos and Michaelides (2003) also study the effect of a nonzero correlation on portfolio choice.”
Consumption and Portfolio Choice over the Life Cycle (2005, background): “Bertaut and Haliassos (1997), Davis and Willen (2000), Gakidis (1999), Dammon, Spatt and Zhang (2001) consider finite horizon models and to this extent are closer to our paper.”
Labor Income Dynamics at Business-Cycle Frequencies:Implications for Portfolio Choice (2011, background): “Positive conditional correlation between today’s realized return and today’s labor growth innovation can also reduce equity holdings (see Davis and Willen, 2000a and 2000b and Michaelides, 2003).”