EconPapers    
Economics at your fingertips  
 

The properties of income risk in privately held businesses

Jason DeBacker (), Bradley Heim (), Vasia Panousi (), Shanthi Ramnath and Ivan Vidangos

No 2012-69, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: Our paper represents the first attempt in the literature to estimate the properties of business income risk from privately held businesses in the US. Using a new, large, and confidential panel of US income tax returns for the period 1987-2009, we extensively document the empirical stylized facts about the evolution of various business income risk measures over time. We find that business income is much riskier than labor income, not only because of the probability of business exit, but also because of higher income fluctuations, conditional on no exit. We show that business income is less persistent, but is also characterized by higher probabilities of extreme upward transition, compared to labor income. Furthermore, the distribution of percent changes for business income is more dispersed than that for labor income, and it also indicates that business income faces substantially higher tail risks. Our results suggest that the high-income households are more likely to bear both the big positive and the big negative business income percent changes.

Date: 2012
New Economics Papers: this item is included in nep-bec and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13) Track citations by RSS feed

Downloads: (external link)
http://www.federalreserve.gov/pubs/feds/2012/201269/201269abs.html (text/html)
http://www.federalreserve.gov/pubs/feds/2012/201269/201269pap.pdf (application/pdf)

Related works:
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:fip:fedgfe:2012-69

Access Statistics for this paper

More papers in Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.) Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2020-07-31
Handle: RePEc:fip:fedgfe:2012-69