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Rich Pickings? Risk, Return, and Skill in Household Wealth

Version
3
Resource Type
Dataset
Creator
  • Bach, Laurent (ESSEC Business School)
  • Calvet, Laurent (EDHEC Business School)
  • Sodini, Paolo (Stockholm School of Economics)
Publication Date
2019-12-31
Free Keywords
Household finance; Inequality; Risk-taking; Factor-based investing; Leverage; Real estate; Private equity; Cost of debt
Description
  • Abstract

    We investigate wealth returns on an administrative panel containing the disaggregated balance sheets of Swedish residents. The expected return on household net wealth is strongly persistent, determined primarily by systematic risk, and increasing in net worth, exceeding the risk-free rate by the size of the equity premium for households in the top 0.01%. Idiosyncratic risk is transitory but generates substantial long-term dispersion in returns in top brackets. Systematic and idiosyncratic risk both drive the cross-sectional distribution of the geometric average return over a generation. Furthermore, wealth returns explain most of the historical increase in top wealth shares.



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Publications
  • Bach, Laurent, Laurent E. Calvet, and Paolo Sodini. “Rich Pickings? Risk, Return, and Skill in Household Wealth.” American Economic Review, n.d.

Update Metadata: 2020-03-10 | Issue Number: 1 | Registration Date: 2020-03-10

Bach, Laurent; Calvet, Laurent; Sodini, Paolo (2019): Rich Pickings? Risk, Return, and Skill in Household Wealth. Version: 3. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E117466V3