Occupation-Level Income Shocks and Asset Returns: Their Covariance and Implications for Portfolio Choice

By Steven J. Davis, P. Willen. 2013

168 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b3304f53d5314d7f8ddd45fe5f804bbebe81ec2a

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In Accounting

1. Sinan Tan
2. Anthony W. Lynch
3. Stephanie E. Curcuru
4. D. Moore
5. J. Heaton
6. Deborah J. Lucas
7. Neng Wang
8. Jianjun Miao

In Economics and Econometrics

1. Stephanie E. Curcuru
2. D. Moore
3. Neng Wang
4. J. Heaton
5. Deborah J. Lucas
6. Jianjun Miao
7. Sinan Tan
8. Anthony W. Lynch

In Finance

1. Sinan Tan
2. Anthony W. Lynch
3. Stephanie E. Curcuru
4. D. Moore
5. Neng Wang
6. J. Heaton
7. Deborah J. Lucas
8. Jianjun Miao

Citations in the corpus

• 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.”
• 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).”
• Investment, Consumption, and Hedging Under Incomplete Markets (2007, background): “rΨ(y) = (αy − ρησy)Ψ0(y) + σ(2)y 2 Ψ00(y) , (58) (21)See Svensson and Werner (1993) and Davis and Willen (2002) for the consumption and portfolio choice problem under incomplete markets in a continuous-time setting and a discrete-time setting, respectively.”
• Portfolio choice with internal habit formation : a life-cycle model with uninsurable labor income risk (2003, unknown): “As a first step, Davis and Willen (2001) have estimated this correlation, and offer estimates between approximately zero and 0.3.”
• 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, 2000b and Michaelides, 2003). This is a diversificationlike channel and is available even when stock return and labor income growth are i”