Theory suggests that increasing idiosyncratic, uninsurable labor income risk may cause individuals to reduce the risk in their financial assets. This relationship is confounded empirically by the tendency of risk tolerant people to choose riskier careers and hold riskier portfolios, leading to an upward-biased estimate of the effect of earnings risk on risky assets holdings. We overcome this identification problem by exploiting a discontinuity built into the Danish national university admissions system, which provides quasi-random assignment of similar applicants to programs with different earnings volatility profiles. Our methodology allows us to measure the causal impact of enrolling in a high-volatility program, holding fixed the average program earnings and human capital betas. We show that entering a program whose enrollees subsequently experience volatile earnings causes students to have more volatile earnings and, ceteris paribus, to hold fewer risky assets and be less likely to participate in the stock market. We calibrate our empirical results to a portfolio choice model with risky labor income that fits our empirical findings well with modest participation costs, myopic behavior, and reasonable levels of risk aversion.

中文翻译：

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人力资本风险和投资组合选择：来自大学录取不连续性的证据

理论表明，特殊的、不可保险的劳动收入风险的增加可能会导致个人降低其金融资产的风险。从经验上看，这种关系因风险承受能力强的人选择风险较高的职业和持有风险较高的投资组合的倾向而受到干扰，从而导致对收益风险对持有风险资产的影响的估计偏上。我们通过利用丹麦国立大学招生系统内置的不连续性来克服这一识别问题，该系统将类似的申请人准随机分配到具有不同收入波动情况的课程。我们的方法使我们能够衡量加入高波动性计划的因果影响，保持固定的平均计划收益和人力资本贝塔值。我们表明，参加一个其参与者随后会经历不稳定收入的项目会导致学生的收入波动更大，并且在其他条件不变的情况下，持有较少的风险资产并不太可能参与股票市场。我们将我们的实证结果校准为具有风险劳动收入的投资组合选择模型，该模型与我们的实证结果非常吻合，具有适度的参与成本、短视行为和合理的风险规避水平。