William A. Hamlen Jr.
The State University of New York
School of Management
University at Buffalo
244 Jacobs Management Center
Buffalo, NY 14260-4000
Institutional Affiliation: SUNY, University at Buffalo
NBER Working Papers and Publications
|September 2008||Asset Management, Human Capital, and the Market for Risky Assets|
with Isaac Ehrlich, Yong Yin: w14340
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 opportunit...
Published: Isaac Ehrlich, William A. Hamlen Jr., and Yong Yin, "Asset Management, Human Capital, and the Market for Risky Assets", Journal of Human Capital, 2008, 2(3): 217-261. citation courtesy of