Abstract

http://ssrn.com/abstract=1270457
 
 

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The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street


Hanno N. Lustig


UCLA - Anderson School of Management; National Bureau of Economic Research (NBER)

Stijn Van Nieuwerburgh


New York University Stern School of Business, Department of Finance; National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR)

September 2008

The Review of Financial Studies, Vol. 21, Issue 5, pp. 2097-2137, 2008

Abstract:     
We use a standard single-agent model to conduct a simple consumption growth accounting exercise. Consumption growth is driven by news about current and expected future returns on the market portfolio. We impute the residual of consumption growth innovations that cannot be attributed to either news about financial asset returns or future labor income growth to news about expected future returns on human wealth, and we back out the implied human wealth and market return process. Innovations in current and future human wealth returns are negatively correlated with innovations in current and future financial asset returns, regardless of the elasticity of intertemporal substitution.

Keywords: G12, G14, G33

Accepted Paper Series


Not Available For Download

Date posted: September 19, 2008  

Suggested Citation

Lustig, Hanno N. and Van Nieuwerburgh, Stijn, The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street (September 2008). The Review of Financial Studies, Vol. 21, Issue 5, pp. 2097-2137, 2008. Available at SSRN: http://ssrn.com/abstract=1270457 or http://dx.doi.org/hhl035

Contact Information

Hanno N. Lustig (Contact Author)
UCLA - Anderson School of Management ( email )
405 Hilgard Avenue
Box 951361
Los Angeles, CA 90095
United States
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Stijn Van Nieuwerburgh
New York University Stern School of Business, Department of Finance ( email )
44 West 4th Street
Suite 9-190
New York, NY 10012-1126
United States
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Centre for Economic Policy Research (CEPR)
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
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