TY  - JOUR
AU  - Ehrlich,Isaac
AU  - Hamlen,William A.,Jr.
AU  - Yin,Yong
TI  - Asset Management, Human Capital, and the Market for Risky Assets
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 14340
PY  - 2008
Y2  - September 2008
UR  - http://www.nber.org/papers/w14340
L1  - http://www.nber.org/papers/w14340.pdf
N1  - Author contact info:
Isaac Ehrlich
415 Fronczak Hall
State University of New York at Buffalo
and Center for Human Capital
Box 601520
Buffalo, NY 14260-1520
Tel: 716/645-2121ext 421
Fax: 716/645- 2127
E-Mail: mgtehrl@buffalo.edu

William A. Hamlen, Jr.
The State University of New York
School of Management
University at Buffalo
244 Jacobs Management Center
Buffalo, NY 14260-4000

Yong Yin
415 Fronczak Hall
State University of New York at Buffalo
and Center for Human Capital 
Box 601520
Buffalo, NY 14260
E-Mail: yyin@buffalo.edu
AB  - Risky-asset prices are conventionally modeled as "fully (information-) revealing". Much less work has been done on how prices get to reveal information. Following the "noisy-prices", rational-expectations approach, our answer focuses on the micro-foundations of information acquisition and the role of human capital in asset, or risk, management. We derive testable propositions on how education and other determinants of asset management affect its intensity, risky-asset demand, and portfolio returns. We derive related insights concerning determinants of the level and volatility of asset prices and equity premiums. Using micro-level data on portfolio choices, we find that education raises both the portfolio share of risky assets and overall portfolio returns, while a measure of the opportunity cost of asset management has the opposite effects. Our results indicate a non-trivial return to education in generating non-wage income. They suggest that educational attainments directly affect the distribution of income as well as earnings.
ER  -