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Worker Betas: Five Facts about Systematic Earnings Risk

Fatih Guvenen (), Sam Schulhofer-Wohl, Jae Song () and Motohiro Yogo

American Economic Review, 2017, vol. 107, issue 5, 398-403

Abstract: The magnitude of and heterogeneity in systematic earnings risk has important implications for various theories in macro, labor, and financial economics. Using administrative data, we document how the aggregate risk exposure of individual earnings to GDP and stock returns varies across gender, age, the worker's earnings level, and industry. Aggregate risk exposure is U-shaped with respect to the earnings level. In the middle of the earnings distribution, aggregate risk exposure is higher for males, younger workers, and construction and durable manufacturing. At the top of the earnings distribution, aggregate risk exposure is higher for older workers and finance.

JEL-codes: D12 E23 J16 J24 J31 L60 L74 (search for similar items in EconPapers)
Date: 2017
Note: DOI: 10.1257/aer.p20171094
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Working Paper: Worker Betas: Five Facts About Systematic Earnings Risk (2017) Downloads
Working Paper: Worker Betas: Five Facts about Systematic Earnings Risk (2017) Downloads
Working Paper: Worker Betas: Five Facts about Systematic Earnings Risk (2017) Downloads
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