Using Swedish administrative panel data, we document that workers facing higher left-tail income risk when equity markets perform poorly have lower portfolio equity share. In line with theory, the relationship between cyclical skewness and stock holdings increases with the share of human capital in a worker's total wealth and vanishes as workers get closer to retirement. Cyclical skewness also predicts portfolio differences within pairs of identical twins. Our findings show that households hedge against correlated tail risks, an important mechanism in asset pricing and portfolio choice models.

中文翻译：

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反周期收入风险和投资组合选择：来自瑞典的证据

使用瑞典行政面板数据，我们发现，当股市表现不佳时，面临较高左尾收入风险的工人的投资组合股票份额较低。根据理论，周期性偏度与股票持有量之间的关系随着人力资本在工人总财富中所占的份额而增加，并随着工人接近退休而消失。周期性偏度还可以预测同卵双胞胎之间的投资组合差异。我们的研究结果表明，家庭对冲相关尾部风险，这是资产定价和投资组合选择模型的重要机制。