Econometrica · 2020 · Andreas Fagereng、Luigi Guiso、Davide Malacrino、Luigi Pistaferri
中文摘要
我们利用挪威行政税务记录中涵盖12年的总体数据，对个人财富回报率的特征进行了系统分析，并报告了若干新发现。第一，不同个人的净财富平均回报率存在明显差异，其标准差为22.1%；净财富各组成部分的平均回报率也存在明显的个体差异。第二，回报率的异质性并非仅仅源于财富在安全资产与风险资产之间的配置差异：即使在划分得很细的资产类别内部，回报率仍存在异质性。第三，回报率与财富呈正相关：从净财富分布的第10百分位到第90百分位，回报率提高18个百分点（若考察税后回报率，则提高10个百分点）。第四，个人财富回报率在时间上表现出较强的持续性。我们认为，这种持续性虽然部分源于风险暴露和资产规模方面的稳定差异，但也反映了金融投资专业水平、金融信息以及企业家才能方面的异质性。最后，财富回报率在代际之间存在相关性。我们讨论了这些发现对财富不平等争论中若干议题的启示。
Abstract
We provide a systematic analysis of the properties of individual returns to wealth using 12 years of population data from Norway's administrative tax records. We document a number of novel results. First, individuals earn markedly different average returns on their net worth (a standard deviation of 22.1%) and on its components. Second, heterogeneity in returns does not arise merely from differences in the allocation of wealth between safe and risky assets: returns are heterogeneous even within narrow asset classes. Third, returns are positively correlated with wealth: moving from the 10th to the 90th percentile of the net worth distribution increases the return by 18 percentage points (and 10 percentage points if looking at net‐of‐tax returns). Fourth, individual wealth returns exhibit substantial persistence over time. We argue that while this persistence partly arises from stable differences in risk exposure and assets scale, it also reflects heterogeneity in sophistication and financial information, as well as entrepreneurial talent. Finally, wealth returns are correlated across generations. We discuss the implications of these findings for several strands of the wealth inequality debate.