Hedging Recessions

Publikation: KonferencebidragPaperForskningpeer review

Resumé

Traditional life-cycle models conclude that individuals should be fully invested
in stocks when young—in stark contrast to observed stock holdings—and then
gradually replace stocks with bonds as retirement is approaching. We show that a
carefully specified and calibrated model of unemployment risk reduces the earlylife stock holdings dramatically. The reduction is driven by the decline in current
and expected future income caused by unemployment, the relatively high unemployment risk of young adults, and the business cycle variations in un- and
reemployment probabilities that tend to deteriorate exactly when stocks perform
poorly.
OriginalsprogEngelsk
Publikationsdato2019
Antal sider52
StatusUdgivet - 2019
BegivenhedMidwest Finance Association 2019 Annual Meeting - Radisson Blu Aqua Hotel, Chicago, USA
Varighed: 7 mar. 20199 mar. 2019
Konferencens nummer: 68
https://www.openconf.org/MidwestFinance2019/modules/request.php?module=oc_program&action=program.php&p=program

Konference

KonferenceMidwest Finance Association 2019 Annual Meeting
Nummer68
LokationRadisson Blu Aqua Hotel
LandUSA
ByChicago
Periode07/03/201909/03/2019
Internetadresse

Emneord

  • Unemployment risk
  • Business cycle
  • Life-cycle model
  • Portfolio planning

Citer dette

Branger, N., Sandris Larsen, L., & Munk, C. (2019). Hedging Recessions. Afhandling præsenteret på Midwest Finance Association 2019 Annual Meeting , Chicago, USA.
Branger, Nicole ; Sandris Larsen, Linda ; Munk, Claus. / Hedging Recessions. Afhandling præsenteret på Midwest Finance Association 2019 Annual Meeting , Chicago, USA.52 s.
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title = "Hedging Recessions",
abstract = "Traditional life-cycle models conclude that individuals should be fully investedin stocks when young—in stark contrast to observed stock holdings—and thengradually replace stocks with bonds as retirement is approaching. We show that acarefully specified and calibrated model of unemployment risk reduces the earlylife stock holdings dramatically. The reduction is driven by the decline in currentand expected future income caused by unemployment, the relatively high unemployment risk of young adults, and the business cycle variations in un- andreemployment probabilities that tend to deteriorate exactly when stocks performpoorly.",
keywords = "Unemployment risk, Business cycle, Life-cycle model, Portfolio planning, Unemployment risk, Business cycle, Life-cycle model, Portfolio planning",
author = "Nicole Branger and {Sandris Larsen}, Linda and Claus Munk",
year = "2019",
language = "English",
note = "null ; Conference date: 07-03-2019 Through 09-03-2019",
url = "https://www.openconf.org/MidwestFinance2019/modules/request.php?module=oc_program&action=program.php&p=program",

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Branger, N, Sandris Larsen, L & Munk, C 2019, 'Hedging Recessions' Paper fremlagt ved Midwest Finance Association 2019 Annual Meeting , Chicago, USA, 07/03/2019 - 09/03/2019, .

Hedging Recessions. / Branger, Nicole; Sandris Larsen, Linda; Munk, Claus.

2019. Afhandling præsenteret på Midwest Finance Association 2019 Annual Meeting , Chicago, USA.

Publikation: KonferencebidragPaperForskningpeer review

TY - CONF

T1 - Hedging Recessions

AU - Branger, Nicole

AU - Sandris Larsen, Linda

AU - Munk, Claus

PY - 2019

Y1 - 2019

N2 - Traditional life-cycle models conclude that individuals should be fully investedin stocks when young—in stark contrast to observed stock holdings—and thengradually replace stocks with bonds as retirement is approaching. We show that acarefully specified and calibrated model of unemployment risk reduces the earlylife stock holdings dramatically. The reduction is driven by the decline in currentand expected future income caused by unemployment, the relatively high unemployment risk of young adults, and the business cycle variations in un- andreemployment probabilities that tend to deteriorate exactly when stocks performpoorly.

AB - Traditional life-cycle models conclude that individuals should be fully investedin stocks when young—in stark contrast to observed stock holdings—and thengradually replace stocks with bonds as retirement is approaching. We show that acarefully specified and calibrated model of unemployment risk reduces the earlylife stock holdings dramatically. The reduction is driven by the decline in currentand expected future income caused by unemployment, the relatively high unemployment risk of young adults, and the business cycle variations in un- andreemployment probabilities that tend to deteriorate exactly when stocks performpoorly.

KW - Unemployment risk

KW - Business cycle

KW - Life-cycle model

KW - Portfolio planning

KW - Unemployment risk

KW - Business cycle

KW - Life-cycle model

KW - Portfolio planning

M3 - Paper

ER -

Branger N, Sandris Larsen L, Munk C. Hedging Recessions. 2019. Afhandling præsenteret på Midwest Finance Association 2019 Annual Meeting , Chicago, USA.