Capital Share Risk in U.S. Asset Pricing

Martin Lettau, Sydney C. Ludvigson and Sai Ma

Journal of Finance, 2019, vol. 74, issue 4, 1753-1792

Abstract: A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory power for expected returns across a range of equity characteristic portfolios and nonequity asset classes, with risk price estimates that are of the same sign and similar in magnitude. Positive exposure to capital share risk earns a positive risk premium, commensurate with recent asset pricing models in which redistributive shocks shift the share of income between the wealthy, who finance consumption primarily out of asset ownership, and workers, who finance consumption primarily out of wages and salaries.

Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (17)

Downloads: (external link)
https://doi.org/10.1111/jofi.12772

Related works:
Working Paper: Capital Share Risk in U.S. Asset Pricing (2018)
Working Paper: Capital Share Risk in U.S. Asset Pricing (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:74:y:2019:i:4:p:1753-1792

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().