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

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.

本研究依托涵盖瑞典居民分项资产负债表的行政面板数据集，针对财富回报率开展探究。家庭净财富的预期回报率具有强持续性特征，主要由系统性风险（systematic risk）决定，且随家庭净财富水平提升而升高：对于前0.01%的高净值家庭，其预期回报率较无风险利率的差值恰好等于股权溢价（equity premium）的规模。异质性风险（idiosyncratic risk）虽具有短暂性，但会在高财富组别中引发回报率层面显著的长期离散程度。系统性风险与异质性风险共同决定了一代人时间跨度内几何平均回报率的截面分布格局。此外，财富回报率能够解释历史上顶层财富占比提升的绝大部分成因。