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.

本研究基于涵盖瑞典居民分项资产负债表的行政面板数据集，对财富回报率开展系统性探究。家庭净财富的预期回报率具有显著持续性，主要由系统性风险决定，且随净财富水平提升而递增；处于财富分布前0.01%的家庭，其回报率超出无风险收益率的幅度等同于股权溢价水平。特质风险虽具有暂时性，却会在顶级财富群体中引发回报率层面的显著长期离散程度。系统性风险与特质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顶级财富份额历史增长的绝大部分成因。