というNBER論文が上がっているungated版)。原題は「Asset Pricing with Endogenously Uninsurable Tail Risk」で、著者はHengjie Ai(ミネソタ大)、Anmol Bhandari(同)。

This paper studies asset pricing in a setting in which idiosyncratic risk in human capital is not fully insurable. Firms use long-term contracts to provide insurance to workers, but neither side can commit to these contracts; furthermore, worker-firm relationships have endogenous durations owing to costly and unobservable effort. Uninsured tail risk in labor earnings arises as a part of an optimal risk-sharing scheme. In the general equilibrium, exposure to the resulting tail risk generates higher risk premia, more volatile returns, and variations in expected returns across firms. Model outcomes are consistent with the cyclicality of factor shares in the aggregate, and the heterogeneity in exposures to idiosyncratic and aggregate shocks in the cross section.


While worker and firm limited commitment constraints are required to match earning dynamics, downside risk in labor earnings, a key feature in the data, is driven mainly by the firm-side limited commitment and moral hazard. Compensation contracts providing perfect risk sharing would insure workers against idiosyncratic labor productivity shocks. But when firms cannot commit to negative net present value projects, large drops in labor productivity are accompanied by reductions in worker earnings. Additionally, the moral hazard problem links a firm’s retention effort to the present discounted value of cash flows it expects from a worker. In periods during which future values are low, because of either low human capital or high discount rates, firms exert low effort and workers suffer higher separation risk and loss of earnings from human capital depreciation.
In the general equilibrium, exposure to downside risk drives several of our asset pricing results.


First, it generates a stochastic discount factor that is more volatile than that in an otherwise identical economy without agency frictions. With recursive utility and persistent countercyclical idiosyncratic risks, the prospect of a future lack of risk sharing raises workers’current marginal utilities. The optimal risk-sharing scheme compensates this by allocating a higher share of aggregate output from capital owners to workers. Therefore, the labor share moves inversely with aggregate output. The countercyclicality of labor share translates into a procyclical consumption share of all unconstrained investors, including the capital owners. This amplifies risk prices. In our quantitative analysis, we find that Sharpe ratios are more than doubled owing to agency frictions.
Since some tail risk comes from separations, there is a feedback between limited commitment and moral hazard. ...
Second, without relying on heteroskedastic aggregate shocks, our model produces substantial predictable variations in the risk premium especially over long horizons. ...
Third, the above economic mechanism also results in a significant heterogeneity in the cross section of expected equity returns and sensitivities of wage payments to firm-level shocks. ...
Lastly, the risk-sharing arrangement in our model is consistent with the cross-sectional variation in wealth exposure to aggregate shocks. By analyzing the consumption-replicating portfolio, we find that wealthy agents endogenously hold higher fractions of wealth in the stock market, while low-income workers invest more in the riskless asset. ...