The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk
Abstract
Using cross‐sectional data from the SCF and Tax Model, we show that entrepreneurial income risk has a significant influence on portfolio choice and asset prices. We find that households with high and variable business income hold less wealth in stocks than other similarly wealthy households, although they constitute a significant fraction of the stockholding population. Similarly for nonentrepreneurs, holding stock in the firm where one works reduces the portfolio share of other common stocks. Finally, we show that adding proprietary income to a linear asset pricing model improves its performance over a similar model that includes only wage income.
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Citations
Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
Cited by
Financial literacy and stock market participation
van Rooij, M., Lusardi, A., & Alessie, R. (2011) · Journal of Financial Economics · doi:10.1016/j.jfineco.2011.03.006 · Cited by 3,554
Asset pricing with liquidity risk
ACHARYA, V, & PEDERSEN, L. (2005) · Journal of Financial Economics · doi:10.1016/j.jfineco.2004.06.007 · Cited by 2,773
… and the Cross-Section of Expected Returns
Harvey, C. R., Liu, Y., & Zhu, H. (2016) · Review of Financial Studies · doi:10.1093/rfs/hhv059 · Cited by 2,119
Market Frictions, Price Delay, and the Cross-Section of Expected Returns
Hou, K., & Moskowitz, T. J. (2005) · Review of Financial Studies · doi:10.1093/rfs/hhi023 · Cited by 1,083
Risk Aversion, Wealth, and Background Risk
Guiso, L., & Paiella, M. (2008) · Journal of the European Economic Association · doi:10.1162/jeea.2008.6.6.1109 · Cited by 1,057
Metadata
- Authors
- Heaton, J., & Lucas, D.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2000-06
- Volume
- 55
- Issue
- 3
- Pages
- 1163-1198
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2164212499
- Cited by
- 1,041
- References
- 1
- FWCI
- 56.30
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
