International Diversification and Labor Income Risk – CeRP

Testo completo

(1)Working Paper 67/07. INTERNATIONAL DIVERSIFICATION AND LABOR INCOME RISK Carolina Fugazza Maela Giofré Giovanna Nicodano. October 2007.

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

(21) ). * T. Max E. C sl ,wsl. dW. N. η. sl. wjsl. j. µj. r. Max V C sl , P l , τ. JP P l π l. JP P σ lπ. JW,W P. JW,P. )# # #. Jt η. -. JW. η N k. η. N j. W. # " Max V C sl , P l , τ. W sl J P lπ Pl W sl l. JW,W. W /P. JW. /P l JW. < = * N j. wjsl wksl σ j,k. wjsl σ ljπ. #. j. ". $# #. # # #. I. < 4= " #. <5= # 7. ". ". 3 wjsl µj η. r. r. ηhsl W sl. η. σ sl h. V C, P, τ " # $1. W/P JW /P JW W/P JW. sl wjsl σ j W dzj ησ sl h W dzh. &. sl l ησ sl πh W P. P. N. η. sl. " " σ h & )# σ j,h σ π,h. σ j,π. D. N j. #. σ sl h. j. JP JP,W JP,P. C sl ,wsl. < =. r W dt ηh W dt C dt. $. /. t. sl. , " # " # " s, l " # " # F j # F 8 $ J W, P, t # # D" C sl ,wsl. V C sl , P l , τ dτ. η. # (. #. C sl W sl. wjsl σ sl jh. N j. < =. J W, P, t. $. W/P JW,W W/P JW,W. < C=. D" Jt. JW. η. N j. W sl /P l JW,W. W sl /P l JW,W. η N k. σ lπ. N j. wjsl wksl σ j,k Pl. η. N j. wjsl µj η. wjsl σ ljπ. r σ sl. r η. ηhsl W sl η. N j. C sl wjsl σ sl jh. W sl. sl l ησ sl πh W P. < = Max V C sl , P l , τ. C sl ,wsl. JW πW sl. JW σ lπ JW,W. JW,W. W sl η. N j. Jt η. JW,W σ lπ wjsl σ ljπ W. JW N j. η N k. N j. wjsl wksl σ j,k. W sl JW η sl sl JW,W ησ πh W. wjsl µj η. N j. σ sl h. r. r η. wjsl σ ljπ W sl. ηhsl W sl η. N j. C sl wjsl σ sl jh. sl JW ησ sl πh W. W sl. < 5=.

(22) Max V C sl , P l , τ. C sl ,wsl. η. η. N j. σ sl h. )#. η. JW. η. JW. µj. <A=. D σ ljπ. Nx - #& " ". * -. λ. η. Nx # N. wksl σ j,k. 8. r ". λ. sl. wksl σ j,k σ ljπ. N j. K <. η # # $l. %. -. l. η π. 4. η. #. λ. #. #. < B=. l. < @= µj # Nx F (. l. !". ". # sl. # -. 4= < @= # - # - # * & / # ". l. λ. W. < !=. sl. #. ( - # #. $. %# -. r. - #. < A= ". σ ljπ. λ σ ljπ. # - # #. <4@BC=. η. σ ljπ. σ lπ. wjsl wksl σ j,k ησ sl W sl πh. N k. σ sl jh. D". r. N. η. sl. sl 3. #. η. N k. N j. πl. wj 3. # η. ησ sl jh. ησ sl jh. η. )# ". !". wksl σ j,k. N k. # N sl. #. η. -. wksl σ j,k. N k. ηhsl. N j wjsl σ ljπ. N j. ". # σ j,k. $. λ. η. λ. σ sl jh. #. λ. η. *. ". η. r. -. N k. r. sl. sl. η. r. λ #. $ - # ' $ #. <!=. wjsl. JW,W. r. 7$. JW,W. sl JW,W η σ sl jπ W N l η σ jπ W sl j. σ ljπ. λ. wjsl µj. N j. C sl σ lπ. C - #. η µj r N σ sl jh k r. η. sl. - # " JW. µj. -# NxN. JW. sl ησ sl πh W N wjsl σ sl jh j. JW W W JW $j. 8 ". wjsl σ ljπ η η. 3 VC. ". Jt. sl. η $s η. l. #. <C =. -. ". sl. η h. $. #. !". ". sl. #. <C4=.

(23) σ j,k. N. -#. , * $. ". $j *. D 4 # # - # * $". l. $ l( j N " # - #. $ #. " ". NxN N F sl( -. # &. D sl. # # # - # 7 D 0 " & ,. %. σ lj,π N - #& # <4@@!= #. -. *. " %. & )# #. *. $. σ sl j,h. <!=. -.

(24) Table 1. Nominal wages (Annual Rate of Growth). Descriptive statistics The table reports descriptive statistics (means and standard deviations) for the annual rates of growth of nominal wages for the three countries (US, Canada and Italy). Nominal wages are considered at both national and industry level (seven industries are included: Financials, Leisure, Manufacturing, Trade, Transports and Communications, Utilities, Other Services). Series are expressed in national currency. The sample period is Jan 1998: Dec 2004. Source: for US data Current Employment Statistics, for Canadian data Survey of Employment, Payrolls and Hours, for Italian data Retribuzioni e Lavoro, ISTAT. USA Canada Italy. Investing industries Trade Utilities Transport Other svs Manufact Financial Leisure National. Mean Std.Dev. (1) 0.03 0.02 0.03 0.02 0.02 0.02 0.04 0.01 0.03 0.01 0.04 0.01 0.03 0.02 0.03 0.01. Mean Std.Dev. (2) 0.02 0.01 0.02 0.02 0.01 0.02 0.02 0.01 0.02 0.02 0.02 0.01 0.01 0.04 0.02 0.01. Mean Std.Dev. (3) 0.03 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.03 0.01 0.02 0.01 0.02 0.02 0.02 0.01. Table 2. National and Industry Nominal Wages (Annual Rate of Growth)- Correlations The table reports, for each country, contemporaneous correlations between national (rows) and industry (columns) specific annual rates of growth of nominal wages. We report the correlations for the overall sample period (1998-2004). Source: for US data Current Employment Statistics, for Canadian data Survey of Employment, Payrolls and Hours, for Italian data Retribuzioni e Lavoro, ISTAT. trade. util. transp. other. manufact. fin. leisure. -0.33. 0.71. 0.80. 0.50. 0.38. 0.55. 0.73. 0.27. 0.31. USA 0.67. 0.13. -0.15. 0.62 Canada. -0.14. -0.42. 0.00. 0.73 Italy. 0.01. 0.38. 0.38. 0.18. Table 3. Nominal stock returns (annual). Descriptive statistics The table reports descriptive statistics of annual stock indices in local currency for country based indices stock returns where ten destination countries -Canada, France, Germany, Italy, Japan, Netherlands, Sweden, United Kingdom, United States, Rest of the World - are considered. The sample period is Jan 1998: Dec 2004. Source: Datastream Stock Indices.. Equity Market. Mean. Std.Dev.. Canada France Italy Japan Netherlands Sweden UK US Germany Rest of World. 0.12 0.13 0.06 0.05 0.13 0.07 0.08 0.07 0.14 0.03. 0.25 0.26 0.37 0.20 0.36 0.20 0.20 0.27 0.29 0.26. 23.

(25) Tables 4. US optimal portfolios The table reports optimal equity portfolio shares invested in 10 equity indexes (by rows) by an investor living in the US and working in one of the seven industries (by columns). The last row in each portfolio represents the share invested in risk free assets. In each panel, the first seven columns report the optimal equity portfolio suitable to hedge both the national inflation risk and the industry-specific labor income risk while the eighth column reports the optimal equity portfolio suitable to hedge the national inflation risk and the national average labor income risk. The last column reports, for comparison, the market share for each destination country (i.e. the value weighted portfolio efficient in absence of background risk). Panel a) of each table reports the optimal equity portfolio composition derived considering all the estimated coefficients, while panel b) reports only significant coefficients (at 10% confidence level).. a) USA (all coefficients). Ca Fr It Jp Nl Sw UK US Ge Rest T-bill. trade. util. transp. other. manufact. fin. leisure. national unrestricted. national restricted. market share. 0,24 0,12 -0,04 0,10 -0,01 -0,12 0,16 0,30 0,09 0,17 0,00. 0,30 0,22 -0,07 0,19 0,04 -0,35 -0,13 0,44 0,30 0,10 -0,05. 0,14 0,22 -0,08 0,08 0,39 0,07 0,11 0,36 -0,27 0,08 -0,11. 0,08 -0,05 0,16 0,17 -0,04 -0,07 0,05 0,32 0,09 0,23 0,04. 0,04 0,29 -0,10 0,04 -0,15 0,06 0,19 0,50 -0,12 0,21 0,04. 0,13 0,18 0,10 0,12 -0,22 -0,10 0,18 0,30 0,01 0,27 0,02. 0,25 0,06 0,11 0,14 0,03 -0,15 -0,06 0,28 0,09 0,21 0,01. 0,12 0,13 0,06 0,12 -0,10 -0,07 0,14 0,34 0,01 0,23 0,02. 0,15 0,04 0,09 0,15 0,02 -0,07 0,05 0,32 0,04 0,20 0,02. 0,03 0,05 0,02 0,11 0,02 0,01 0,09 0,42 0,04 0,22 -. b) USA (statistically significant coefficients). Ca Fr It Jp Nl Sw UK US Ge Rest T-bill. trade. util. transp. other. manufact. fin. leisure. national unrestricted. national restricted. market share. 0,24 0,17 -0,02 0,11 0,02 -0,10 0,09 0,30 0,09 0,22 -0,09. 0,30 0,17 -0,02 0,19 0,02 -0,33 -0,15 0,38 0,30 0,12 0,02. 0,14 0,17 -0,02 0,11 0,36 0,09 0,09 0,38 -0,27 0,10 -0,15. 0,08 -0,05 0,16 0,18 0,02 -0,05 0,09 0,32 0,09 0,22 -0,06. 0,04 0,29 -0,10 0,05 -0,17 0,08 0,16 0,50 -0,12 0,22 0,05. 0,13 0,17 0,10 0,11 -0,24 -0,08 0,09 0,30 -0,04 0,28 0,17. 0,25 0,17 0,11 0,11 0,02 -0,13 -0,08 0,28 0,09 0,22 -0,05. 0,12 0,14 0,06 0,12 -0,10 -0,05 0,09 0,34 -0,01 0,24 0,04. 0,15 0,04 0,09 0,16 0,02 -0,05 0,09 0,32 0,04 0,22 -0,07. 0,03 0,05 0,02 0,11 0,02 0,01 0,09 0,42 0,04 0,22 -. 24.

(26) Tables 5. Canada optimal portfolios This table reports the optimal equity portfolios shares invested in 10 equity indexes (by rows) by an investor living in Canada and working in one of the seven industries (by columns). Otherwise the table is the same as Table 4.. a) Canada (all coefficients). Ca Fr It Jp Nl Sw UK US Ge Rest T-bill. trade. util. transp. other. manufact. fin. leisure. national unrestricted. national restricted. market share. 0,14 -0,08 0,15 0,20 0,10 -0,10 -0,12 0,30 0,10 0,24 0,07. 0,24 -0,10 0,16 0,19 -0,03 -0,16 0,00 0,09 0,31 0,24 0,06. 0,21 0,00 0,20 0,21 -0,31 -0,13 0,16 0,27 0,19 0,21 -0,01. 0,07 -0,03 0,28 0,22 -0,30 -0,10 -0,12 0,56 0,14 0,24 0,05. 0,16 0,17 0,06 0,14 -0,12 -0,11 0,06 0,37 0,02 0,21 0,03. 0,00 -0,11 0,11 0,15 -0,08 0,07 0,21 0,38 0,00 0,18 0,09. 0,10 -0,62 1,06 0,42 -0,86 -0,29 -0,29 0,45 0,49 0,40 0,13. 0,10 -0,04 0,22 0,20 -0,19 -0,09 -0,02 0,42 0,11 0,23 0,06. 0,09 -0,02 0,19 0,19 -0,14 -0,08 0,01 0,39 0,09 0,22 0,06. 0,03 0,05 0,02 0,11 0,02 0,01 0,09 0,42 0,04 0,22 -. b) Canada (statistically significant coefficients). Ca Fr It Jp Nl Sw UK US Ge Rest T-bill. trade. util. transp. other. manufact. fin. leisure. national unrestricted. national restricted. market share. 0,14 0,05 0,18 0,20 0,20 -0,09 -0,04 0,33 0,11 0,22 -0,31. 0,24 0,05 0,18 0,20 0,02 -0,09 0,09 0,09 0,31 0,22 -0,30. 0,21 0,05 0,18 0,20 -0,20 -0,09 0,24 0,33 0,11 0,22 -0,24. 0,10 0,05 0,28 0,20 -0,19 -0,09 -0,04 0,56 0,11 0,22 -0,19. 0,16 0,24 0,06 0,20 0,02 -0,09 0,09 0,33 0,11 0,22 -0,34. 0,00 0,05 0,18 0,20 0,02 0,07 0,29 0,33 0,11 0,22 -0,47. 0,10 -0,54 1,06 0,42 -0,76 -0,29 0,09 0,33 0,49 0,40 -0,31. 0,11 0,05 0,24 0,21 -0,08 -0,08 0,06 0,41 0,14 0,23 -0,29. 0,10 0,05 0,18 0,20 0,02 -0,09 0,09 0,39 0,11 0,22 -0,26. 0,03 0,05 0,02 0,11 0,02 0,01 0,09 0,42 0,04 0,22 -. 25.

(27) Table 6. Italy optimal portfolios This table reports the optimal portfolio shares invested in 10 equity indexes (by rows) by an investor living in Italy and working in one of the seven industries (by columns). Otherwise the table is the same as Tables 4 and 5.. a) Italy (all coefficients). Ca Fr It Jp Nl Sw UK US Ge Rest T-bill. trade. util. transp. other. manufact. fin. leisure. national unrestricted. national restricted. market share. 0.07 -0.14 -0.04 0.16 0.02 -0.08 0.25 0.54 0.08 0.23 -0.09. 0.22 0.19 -0.18 0.08 0.00 -0.03 0.00 0.51 0.14 0.05 0.03. 0.21 -0.09 -0.04 0.14 0.00 0.01 -0.14 0.46 0.25 0.10 0.12. 0.04 0.01 -0.04 0.13 -0.07 -0.05 0.26 0.52 0.00 0.23 -0.04. 0.14 0.07 -0.04 0.11 -0.14 -0.02 0.20 0.47 0.06 0.12 0.03. 0.03 0.22 -0.19 0.05 -0.11 0.04 0.33 0.57 -0.05 0.13 -0.02. 0.23 -0.06 -0.02 0.08 -0.06 0.03 -0.15 0.47 0.26 0.08 0.16. 0.09 0.03 -0.07 0.11 -0.07 -0.02 0.20 0.51 0.05 0.17 0.00. 0.11 0.01 -0.01 0.11 -0.14 -0.03 0.11 0.50 0.14 0.16 0.04. 0.03 0.05 0.02 0.11 0.02 0.01 0.09 0.42 0.04 0.22 -. b) Italy (statistically significant coefficients). Ca Fr It Jp Nl Sw UK US Ge Rest T-bill. trade. util. transp. other. manufact. fin. leisure. national unrestricted. national restricted. market share. 0.03 0.05 0.02 0.11 -0.07 0.01 0.09 0.42 0.12 0.22 0.00. 0.20 0.05 -0.17 0.11 -0.07 0.01 0.09 0.42 0.12 0.06 0.18. 0.20 0.05 0.02 0.11 -0.07 0.01 -0.17 0.42 0.25 0.11 0.08. 0.03 0.05 0.02 0.11 -0.07 0.01 0.09 0.51 0.12 0.22 -0.08. 0.12 0.05 0.02 0.11 -0.07 0.01 0.09 0.42 0.12 0.13 0.00. 0.03 0.26 -0.18 0.11 -0.07 0.01 0.30 0.56 -0.05 0.14 -0.10. 0.21 0.05 0.02 0.11 -0.07 0.01 -0.19 0.42 0.12 0.09 0.22. 0.08 0.08 -0.01 0.11 -0.07 0.01 0.09 0.47 0.10 0.17 -0.02. 0.09 0.05 0.02 0.11 -0.07 0.01 0.09 0.49 0.12 0.17 -0.07. 0.03 0.05 0.02 0.11 0.02 0.01 0.09 0.42 0.04 0.22 -. 26.

(28) Table 7a. Hedging components by US investing industries This table reports, for each US investing industry, the labor and inflation hedging components. Columns 1 – 7 report the labor income hedging component at industry level. Column 8 reports the labor hedging component in the unrestricted national portfolio. Column 9 reports the inflation hedging component which is common to all industries. In the last column the total (labor plus inflation) hedging component for the national unrestricted portfolio is reported. Panel a) in each table considers portfolios where all coefficients are considered while panel b) considers portfolios where only statistically significant coefficients (at 10% confidence level) are considered. Minimum and maximum figures are in bold face (for panel b) only values deriving from significant coefficients are considered).. a) USA (all coefficients) Labor Hedge. Ca Fr It Jp Nl Sw UK US Ge Rest. trade. util. transp. other. manufact. fin. leisure. nat. unrestr.. 0.16 -0.04 -0.02 0.00 -0.05 -0.12 0.05 -0.09 0.13 -0.02. 0.22 0.05 -0.05 0.08 0.00 -0.34 -0.24 0.06 0.34 -0.10. 0.07 0.05 -0.06 -0.02 0.35 0.08. 0.00 -0.22 0.18 0.07 -0.08 -0.06 -0.06 -0.06 0.13 0.03. -0.04 0.12 -0.08 -0.06 -0.19 0.07 0.08 0.12 -0.08 0.01. 0.06 0.01 0.12 0.02 -0.26 -0.09 0.07 -0.08 0.05 0.07. 0.18 -0.10 0.13 0.04 -0.01 -0.14 -0.17 -0.10 0.13 0.02. 0.05 -0.04 0.08 0.02 -0.15 -0.06 0.03 -0.04 0.05 0.03. 0.00 -0.02 -0.23 -0.12. Infl Hedge. Tot Hedge. 0.05 0.12 -0.05 -0.01 0.02 -0.02 0.02 -0.04 -0.08 -0.02. 0.24 0.18 -0.02 0.02 -0.02 -0.18 -0.02 -0.11 -0.01 -0.06. Infl Hedge. Tot Hedge. 0.05 0.12 -0.05 -0.04 -0.08 -. 0.09 0.09 0.04 0.01 -0.12 -0.06 0.01 -0.08 -0.04 0.02. b) USA (statistically significant coefficients) Labor Hedge. Ca Fr It Jp Nl Sw UK US Ge Rest. trade. util. transp. other. manufact. fin. leisure. nat. unrestr.. 0.16 -0.12 -0.09 0.13 -. 0.22 0.08. 0.07 0.35 0.08 -0.23 -0.12. -0.22 0.18 0.07 -0.06 -0.06 0.13 -. -0.04 0.12 -0.08 -0.06. 0.06 0.12 -0.26 -0.09 -0.08 0.07. 0.18 0.13 -0.14 -0.17 -0.10 0.13 -. 0.05 -0.03 0.08 0.01 -0.12 -0.06 0.01 -0.04 0.03 0.02. -0.34 -0.24 0.34 -0.10. -0.19 0.07 0.08 0.12 -0.08 -. 27.

(29) Table 7b. Relative hedging components by US investing industries This table reports, for each US investing industry, the relative weight of the labor and inflation hedging component: it contains the same figures as in table 7a scaled by the market share of the destination country. Panel a) in each table considers portfolios where all coefficients are considered while panel b) considers portfolios where only statistically significant coefficients (at 10% confidence level) are considered. Minimum and maximum ratios are in bold face (for panel b) only ratios corresponding to significant coefficients are considered).. a) USA (all coefficients) (Labor Hedge)/MS trade Ca Fr It Jp Nl Sw UK US Ge Rest. util. 7.36 5.36 -0.97 1.18 -0.89 -2.01 -0.03 0.78 -2.67 -0.20 -10.62 -30.91 0.55 -2.73 -0.21 0.15 3.57 9.72 -0.10 -0.47. transp. other. manufact. 2.25 1.13 -2.52 -0.18 17.80 7.18 0.04 -0.06 -6.43 -0.54. 0.05 -4.81 7.46 0.64 -4.35 -5.58 -0.67 -0.14 3.78 0.16. -1.28 2.73 -3.11 -0.56 -9.87 6.14 0.90 0.28 -2.30 0.05. fin. leisure nat. unrestr.. 1.97 5.90 0.15 -2.29 4.95 5.44 0.17 0.36 -13.51 -0.52 -8.01 -12.52 0.84 -1.93 -0.24 -0.18 1.31 3.80 0.32 0.08. 1.58 -0.82 3.19 0.14 -7.65 -5.24 0.31 -0.09 1.48 0.14. Infl Hedge MS. Tot Hedge MS. 1.53 2.72 -1.89 -0.05 1.26 -1.76 0.28 -0.10 -2.15 -0.09. 7.87 3.93 -0.95 0.21 -1.09 -16.26 -0.26 -0.26 -0.39 -0.27. Infl Hedge MS. Tot Hedge MS. 1.53 2.72 -1.89 -0.10 -2.15 -. 3.10 1.98 1.53 0.07 -6.23 -5.24 0.07 -0.19 -1.18 0.10. b) USA (statistically significant coefficients) (Labor Hedge)/MS trade Ca Fr It Jp Nl Sw UK US Ge Rest. util. 7.36 5.36 0.78 -10.62 -30.91 -2.73 -0.21 3.57 9.72 -0.47. transp. other. manufact. 2.25 17.80 7.18 -6.43 -0.54. -4.81 7.46 0.64 -5.58 -0.14 3.78 -. -1.28 2.73 -3.11 -0.56 -9.87 6.14 0.90 0.28 -2.30 -. fin. leisure nat. unrestr.. 1.97 5.90 4.95 5.44 -13.51 -8.01 -12.52 -1.93 -0.24 -0.18 3.80 0.32 -. 28. 1.57 -0.73 3.42 0.07 -6.23 -5.24 0.07 -0.09 0.97 0.10.

(30) Table 8a. Hedging components by Canadian investing industries Table 8a reports, for each Canadian investing industry, the labor and inflation hedging component. Otherwise the table is the same as Table 7a.. a) Canada (all coefficients) Labor Hedge. Ca Fr It Jp Nl Sw UK US Ge Rest. trade. util. transp. other. manufact. fin. leisure. nat. unrestr.. 0.04 -0.06 -0.03 0.00 0.19 -0.02 -0.13 -0.03 -0.01 0.03. 0.14 -0.08 -0.02 0.00 0.05 -0.07 0.00 -0.24 0.20 0.02. 0.11 0.02 0.01 0.02 -0.22 -0.04 0.15 -0.06 0.08 0.00. -0.04 -0.01 0.10 0.02 -0.21 -0.01 -0.12 0.22 0.02 0.02. 0.06 0.20 -0.12 -0.05 -0.03 -0.02 0.05 0.04 -0.09 0.00. -0.10 -0.08 -0.07 -0.05 0.00 0.16 0.20 0.05 -0.12 -0.03. 0.00 -0.59 0.87 0.23 -0.78 -0.20 -0.30 0.12 0.38 0.19. 0.00 -0.01 0.04 0.00 -0.10 0.00 -0.03 0.09 0.00 0.02. Infl Hedge. Tot Hedge. 0.07 -0.07 0.16 0.09 -0.10 -0.10 -0.08 -0.09 0.08 0.00. 0.07 -0.09 0.20 0.09 -0.21 -0.10 -0.11 0.00 0.08 0.01. Infl Hedge. Tot Hedge. 0.07 0.16 0.09 -0.10 0.00 -0.09 0.08 -. 0.08 0.01 0.21 0.10 -0.10 -0.09 -0.02 -0.02 0.10 0.01. b) Canada (statistically significant coefficients) Labor Hedge. Ca Fr It Jp Nl Sw UK US Ge Rest. trade. util. transp. other. manufact. fin. leisure. nat. unrestr.. 0.04 0.19 -0.13 -. 0.14 -0.24 0.20 -. 0.11 -0.22 0.15 -. 0.10 -0.21 -0.12 0.22 -. 0.06 0.20 -0.12 -. -0.10 0.16 0.20 -. -0.59 0.87 0.23 -0.78 -0.20 0.38 0.19. 0.01 0.01 0.06 0.01 -0.10 0.01 -0.02 0.07 0.02 0.01. 29.

(31) Table 8b. Relative hedging components by Canadian investing industries Table 8b reports, for each Canadian investing industry, the relative weight of the labor and inflation hedging component: it contains the same figures as in table 8a but scaled by the market share of the destination country. Otherwise the table is the same as Table 7b.. a) Canada (all coefficients) (Labor Hedge)/MS Ca Fr It Jp Nl Sw UK US Ge Rest. trade. util. transp. other. manufact. fin. leisure. nat. unrestr.. Infl Hedge MS. Tot Hedge MS. 1.40 -1.26 -1.26 0.02 9.54 -1.39 -1.46 -0.07 -0.33 0.12. 4.54 -1.66 -0.75 -0.03 2.79 -6.65 -0.03 -0.57 5.56 0.11. 3.71 0.48 0.58 0.15 -11.45 -3.92 1.75 -0.14 2.13 0.00. -1.19 -0.15 4.04 0.20 -10.95 -1.05 -1.43 0.53 0.68 0.10. 1.93 4.32 -4.84 -0.48 -1.61 -1.94 0.61 0.08 -2.54 -0.02. -3.28 -1.82 -2.97 -0.45 0.15 15.05 2.31 0.12 -3.30 -0.16. -0.11 -12.96 35.42 2.10 -39.97 -18.20 -3.48 0.29 10.67 0.86. 0.03 -0.33 1.65 0.03 -5.26 -0.07 -0.35 0.20 -0.06 0.08. 2.38 -1.58 6.42 0.80 -5.38 -9.22 -0.93 -0.21 2.23 -0.01. 2.41 -1.90 8.06 0.83 -10.64 -9.28 -1.27 -0.01 2.17 0.07. b) Canada (statistically significant coefficients) (Labor Hedge)/MS. Ca Fr It Jp Nl Sw UK US Ge Rest. trade. util. transp. other. manufact. fin. leisure. nat. unrestr.. Infl Hedge MS. Tot Hedge MS. 1.40 9.54 -1.46 -. 4.54 -0.57 5.56 -. 3.71 -11.45 1.75 -. 4.04 -10.95 -1.43 0.53 -. 1.93 4.32 -4.84 -. -3.28 15.05 2.31 -. -12.96 35.42 2.10 -39.97 -18.20 10.67 0.86. 0.45 0.20 2.28 0.11 -4.98 1.27 -0.28 0.17 0.65 0.05. 2.38 6.42 0.80 -9.22 -0.21 2.23 -. 2.82 0.20 8.70 0.92 -4.98 -7.95 -0.28 -0.04 2.88 0.05. 30.

(32) Table 9a. Hedging components by Italian investing industries Table 9a reports, for each Italian investing industry, the labor and inflation hedging component. Otherwise the table is the same as Tables 7a and 8a.. a) Italy (all coefficients) Labor Hedge trade Ca Fr It Jp Nl Sw UK US Ge Rest. 0.03 -0.14 -0.05 0.06 0.09 -0.08 0.13 0.10 -0.05 0.02. util. 0.17 0.19 -0.19 -0.01 0.07 -0.04 -0.12 0.07 0.02 -0.16. transp. 0.17 -0.10 -0.05 0.04 0.07 0.01 -0.26 0.02 0.13 -0.11. other. 0.00 0.01 -0.05 0.03 0.01 -0.05 0.14 0.08 -0.13 0.02. manufact. fin. 0.09 0.07 -0.06 0.02 -0.07 -0.02 0.08 0.03 -0.06 -0.08. -0.02 0.21 -0.20 -0.05 -0.04 0.04 0.21 0.13 -0.18 -0.08. Infl Hedge. Tot Hedge. 0.02 -0.04 -0.01 -0.01 -0.09 -0.01 0.03 0.02 0.09 -0.01. 0.06 -0.02 -0.09 0.00 -0.09 -0.03 0.12 0.09 0.01 -0.05. Infl Hedge. Tot Hedge. -0.09 0.09 -. 0.05 0.04 -0.04 -0.09 0.05 0.07 -0.05. leisure nat. unrestr.. 0.18 -0.06 -0.04 -0.01 0.01 0.03 -0.27 0.03 0.13 -0.13. 0.05 0.03 -0.08 0.02 0.00 -0.02 0.08 0.07 -0.07 -0.04. b) Italy (statistically significant coefficients) Labor Hedge. Ca Fr It Jp Nl Sw UK US Ge Rest. trade. util. transp. other. manufact. fin. -. 0.17 -0.19 -0.16. 0.17 -0.26 0.13 -0.11. 0.08 -. 0.09 -0.08. 0.21 -0.20 0.21 0.13 -0.18 -0.08. 31. leisure nat. unrestr.. 0.18 -0.27 -0.13. 0.05 0.04 -0.04 0.05 -0.02 -0.05.

(33) Table 9b. Relative hedging components by Italian investing industries Table 9b reports, for each Italian investing industry, the relative weight of the labor and inflation hedging component: it contains the same figures as in table 9a but scaled by the market share of the destination country. Otherwise the table is the same as Table 7b and 8b.. a) Italy (all coefficients) (Labor Hedge)/MS Ca Fr It Jp Nl Sw UK US Ge Rest. trade. util. transp. other. manufact. fin. 0.84 -3.03 -2.06 0.57 4.70 -7.64 1.52 0.24 -1.32 0.10. 5.66 4.12 -7.87 -0.13 3.70 -3.34 -1.40 0.17 0.46 -0.72. 5.50 -2.12 -2.14 0.37 3.52 0.48 -3.00 0.04 3.59 -0.50. -0.11 0.19 -2.11 0.31 0.29 -4.47 1.62 0.20 -3.60 0.11. 2.99 1.53 -2.26 0.17 -3.42 -2.18 0.94 0.06 -1.82 -0.39. -0.54 4.72 -8.29 -0.46 -2.03 3.79 2.48 0.32 -4.94 -0.35. leisure nat. unrestr.. 6.05 -1.34 -1.50 -0.11 0.41 2.66 -3.16 0.06 3.73 -0.59. 1.51 0.61 -3.24 0.16 -0.08 -2.24 0.98 0.17 -2.11 -0.18. Infl Hedge MS. Tot Hedge MS. 0.60 -0.97 -0.49 -0.13 -4.73 -0.75 0.37 0.04 2.49 -0.04. 2.11 -0.36 -3.73 0.03 -4.81 -2.99 1.35 0.21 0.39 -0.23. Infl Hedge MS. Tot Hedge MS. -4.73 2.49 -. 1.51 0.81 -1.51 -4.73 0.05 0.11 1.90 -0.23. b) Italy (statistically significant coefficients) (Labor Hedge)/MS. Ca Fr It Jp Nl Sw UK US Ge Rest. trade. util. transp. other. manufact. fin. -. 5.66 -7.87 -0.72. 5.50 -3.00 3.59 -0.50. 0.20 -. 2.99 -0.39. 4.72 -8.29 2.48 0.32 -4.94 -0.35. 32. leisure nat. unrestr.. 6.05 -3.16 -0.59. 1.51 0.81 -1.51 0.05 0.11 -0.59 -0.23.

(34) Table 10. Size of hedging components: industry vs national restricted The table reports, for each country, the size of hedging components, i.e. the hedging components in absolute value. Panel a) refers to US investing country, panel b) and c) to Canada and Italy, respectively. In columns (1) and (2) we report the size of inflation hedging component common to all industries. In (3) and (4) we report the weighted average of the size of the labor hedging components across all industries. Columns (5) and (6) report the size of the labor hedging component in the national restricted portfolio. In the last column of the table we report, for comparison, the market share of each destination country. The last row in each panel reports the sum of the absolute hedging components across all destination countries. Results are derived for portfolios with all coefficients ((1), (3), (5)) and for those with only significant coefficients ((2), (4), (6)).. Infl Hedge. Ca Fr It Jp Nl Sw UK US Ge Rest sum hedge. all coeffs (1). sign. coeffs (2). 0.05 0.12 0.05 0.01 0.02 0.02 0.02 0.04 0.08 0.02 0.42. 0.05 0.12 0.05 0.04 0.08 0.33. a) USA Abs Labor Hedge industry wgt av all sign. coeffs coeffs (3) (4). 0.06 0.09 0.11 0.04 0.17 0.08 0.07 0.08 0.10 0.05 0.84. 0.06 0.07 0.11 0.03 0.15 0.08 0.02 0.08 0.08 0.03 0.71. Abs Labor Hedge national restr. all sign. coeffs coeffs (5) (6). market share. 0.08 0.13 0.11 0.05 0.03 0.06 0.06 0.07 0.09 0.00 0.67. 0.08 0.13 0.11 0.05 0.06 0.07 0.09 0.58. 0.03 0.05 0.02 0.11 0.02 0.01 0.09 0.42 0.04 0.22. 0.04 0.07 0.11 0.01 0.16 0.04 0.10 0.08 0.02 0.01 0.64. 0.01 0.01 0.00 0.01 0.05 0.01 0.00 0.06 0.03 0.00 0.19. 0.06 0.06. 0.03 0.05 0.02 0.11 0.02 0.01 0.09 0.42 0.04 0.22. 0.05 0.04 0.04 0.07 0.05 0.04 0.05 0.32. 0.03 0.14 0.05 0.06 0.09 0.08 0.13 0.10 0.05 0.02 0.75. 0.06 0.06 0.05 0.17. 0.03 0.05 0.02 0.11 0.02 0.01 0.09 0.42 0.04 0.22. b) Canada Ca Fr It Jp Nl Sw UK US Ge Rest sum hedge. 0.07 0.07 0.16 0.09 0.10 0.10 0.08 0.09 0.08 0.00 0.85. 0.07 0.16 0.09 0.10 0.09 0.08 0.59. 0.06 0.10 0.12 0.04 0.17 0.05 0.13 0.11 0.07 0.03 0.88. 0.02 0.04 0.01 0.01 0.09 0.01 0.03 0.02 0.09 0.01 0.33. 0.09 0.09 0.18. 0.05 0.09 0.08 0.04 0.04 0.04 0.15 0.07 0.11 0.06 0.74. c) Italy Ca Fr It Jp Nl Sw UK US Ge Rest sum hedge. 33.

(35) Table 11. Absolute distance industry-national This table reports for each optimal portfolio weight at industry level the absolute distance from the optimal corresponding weight at national level. Here only significant differences are considered (Wald test at 10% confidence level). The optimal portfolio hedging the national labor income risk (national restricted ptf) is reported in the last column, while columns from 1 to 7 show the distance of each optimal industry portfolio weight from the corresponding weight in the national restricted ptf. Panel a) refers to US investing industries, panel b) and c) to Canadian and Italian industries, respectively.. a) USA. Ca Fr It Jp Nl Sw UK US Ge Rest. trade. util. transp. other. manufact. fin. leisure. national restricted. 0.08 0.09 0.13 0.05 0.06 0.11 -. 0.19 0.03 0.18 0.26 0.10. 0.18 0.17 0.37 0.14 0.31 0.12. 0.07 0.09 0.07 0.05 0.04. 0.11 0.26 0.19 0.11 0.13 0.14 0.18 0.17 -. 0.14 0.23 0.13 0.07. 0.10 0.08 0.11 -. 0.15 0.04 0.09 0.15 0.02 -0.07 0.05 0.32 0.04 0.20. b) Canada. Ca Fr It Jp Nl Sw UK US Ge Rest. trade. util. transp. other. manufact. fin. leisure. national restricted. 0.05 0.24 0.13 0.09 -. 0.15 0.30 0.23 -. 0.12 0.15 0.12 -. 0.10 0.03 0.16 0.13 0.17 -. 0.07 0.19 0.12 -. 0.09 0.15 0.20 -. 0.60 0.87 0.24 0.72 0.21 0.41 0.18. 0.09 -0.02 0.19 0.19 -0.14 -0.08 0.01 0.39 0.09 0.06. c) Italy. Ca Fr It Jp Nl Sw UK US Ge Rest. trade. util. transp. other. manufact. fin. leisure. national restricted. -. 0.11 0.17 0.11. 0.10 0.25 0.11 0.06. -. 0.03 0.09 0.08 0.04. 0.08 0.20 0.18 0.07 0.07 0.23 0.07 0.19 -. 0.12 0.26 0.08. 0.11 0.01 -0.01 0.11 -0.14 -0.03 0.11 0.50 0.14 0.04. 34.

(36) Table 12. Synthetic measures of dispersion (fully hedged) Table 12.I and 12.II report synthetic measures of dispersion of optimal equity portfolios across investing industries for fully hedged and unhedged positions, respectively. The measures of dispersion are computed around the national restricted portfolio. Reported measures are derived, alternatively, on all distances ((1), (3), (5)) and on only significant distances ((2), (4), (6)). Panel a) reports the standard deviation of industry portfolios (around the national portfolio) while panel b) reports the standard deviation of individual weights in industry portfolios (around individual weights in the national portfolio). Both unweighted and weighted measures are considered (in the weighted measure the weights are computed considering the labor compensation of each investing industry on total labor compensation in each country). The unweighted standard deviation of the S industry portfolios in country l with respect to the restricted national portfolio l is computed as S. σ l PU =. 2. sl ∑∑ w j −w l j    s =1. N +1 j =1. S. where S is the total number (seven) of industries in country l, N+1 is the total number of destination equity indices (ten) sl. l. plus the risk- free asset , wj is the optimal weight of equity index j in the portfolio of industry s in country l, wj is the optimal weight of equity index j in the restricted national portfolio of country l. The weighted standard deviation of the S industry portfolios in country l with respect to the restricted national portfolio l is computed as. σ l PW =. ∑∑ ν sl w j  S. s =1. N +1. sl. j =1. 2. −w l j  . where ν sl here is the relative weight of industry s in country l, measured by the total labor income compensation paid in industry s relative to the total labor income compensation in country l. The unweighted and weighted standard deviations of the S industry portfolio weights in country l with respect to the weights in restricted national portfolio l are computed, respectively, as. σ l wU =. (σ ) l. PU. 2. N +1. and σ. l. wW. =. (σ. l. PW. ). 2. N +1. I. Fully hedged United States. weighted unweighted. Canada. Italy. all dist. (1). sign. all sign. dist. dist. dist. (2) (3) (4) a) portfolios. all dist. (5). sign. dist. (6). 0,33 0,40. 0,32 0,36. 0,42 0,56. 0,30 0,33. 0,22 0,25. 0,10 0,12. 0,10 0,11. 0,13 0,19. 0,09 0,10. 0,07 0,08. 0,44 0,62 b) weights. weighted unweighted. 0,13 0,19. II. Unhedged United States. weighted unweighted. Canada. Italy. all dist. (1). sign. all dist. dist. (2) (3) a) portfolios. sign. dist. (4). all dist. (5). sign. dist. (6). 0,33 0,39. 0,32 0,37. 0,40 0,53. 0,32 0,34. 0,25 0,28. 0,10 0,12. 0,10 0,14. 0,13 0,17. 0,10 0,10. 0,08 0,09. 0,43 0,59. b) weights weighted unweighted. 0,13 0,18. 35.

(37) Figures 1-3. Inter-industry significant differences Figures 1-3 show on the vertical axis the number of investing industries-pairs and on the horizontal axis the number of different coefficients. In figure 1 we consider US, in figure 2 and 3 we consider Canada and Italy, respectively. The test on the difference across coefficients is performed through a Wald test (10% confidence level). The height of histograms represents the number of industry-pairs differing by the corresponding number of portfolio weights reported on the horizontal axis. Given the seven investing industries considered, we have 21 industry-pairs over which we test the difference among the corresponding portfolio coefficients (for instance, for US, we find that 8 industry-pairs out of 21 differ for 5 coefficients out of 10). We perform 210 tests: 21 industry-pairs times the 10 coefficients in each portfolio. The graphs also indicate the percentage of significant distances: 48% for US (101 out of 210), 44% for Canada and 28% for Italy.. Figure 1. US industries 48% statistically significant differences. # industry-pairs. 10 8 6 4 2 0 0. 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 9. 10. 9. 10. # different coeffs. Figure 2. Canadian industries 44% statistically significant differences. # industry-pairs. 10 8 6 4 2 0 0. 1. 2. 3. 4. 5. 6. 7. 8. # different coeffs. Figure 3. Italian industries 28% statistically significant differences. # industry-pairs. 7 6 5 4 3 2 1 0 0. 1. 2. 3. 4. 5. 6. # different coeffs. 36. 7. 8.

(38) Our papers can be downloaded at: http://cerp.unito.it/publications. CeRP Working Paper Series N° 1/00. Guido Menzio. Opting Out of Social Security over the Life Cycle. N° 2/00. Pier Marco Ferraresi Elsa Fornero. Social Security Transition in Italy: Costs, Distorsions and (some) Possible Correction. N° 3/00. Emanuele Baldacci Luca Inglese. Le caratteristiche socio economiche dei pensionati in Italia. Analisi della distribuzione dei redditi da pensione (only available in the Italian version). N° 4/01. Peter Diamond. Towards an Optimal Social Security Design. N° 5/01. Vincenzo Andrietti. Occupational Pensions and Interfirm Job Mobility in the European Union. Evidence from the ECHP Survey. N° 6/01. Flavia Coda Moscarola. The Effects of Immigration Inflows on the Sustainability of the Italian Welfare State. N° 7/01. Margherita Borella. The Error Structure of Earnings: an Analysis on Italian Longitudinal Data. N° 8/01. Margherita Borella. Social Security Systems and the Distribution of Income: an Application to the Italian Case. N° 9/01. Hans Blommestein. Ageing, Pension Reform, and Financial Market Implications in the OECD Area. N° 10/01. Vincenzo Andrietti and Vincent Pension Portability and Labour Mobility in the United States. Hildebrand New Evidence from the SIPP Data. N° 11/01. Mara Faccio and Ameziane Lasfer. Institutional Shareholders and Corporate Governance: The Case of UK Pension Funds. N° 12/01. Roberta Romano. Less is More: Making Shareholder Activism a Valuable Mechanism of Corporate Governance. N° 13/01. Michela Scatigna. Institutional Investors, Corporate Governance and Pension Funds. N° 14/01. Thomas H. Noe. Investor Activism and Financial Market Structure. N° 15/01. Estelle James. How Can China Solve ist Old Age Security Problem? The Interaction Between Pension, SOE and Financial Market Reform. N° 16/01. Estelle James and Xue Song. Annuities Markets Around the World: Money’s Worth and Risk Intermediation. N° 17/02. Richard Disney and Sarah Smith. The Labour Supply Effect of the Abolition of the Earnings Rule for Older Workers in the United Kingdom. N° 18/02. Francesco Daveri. Labor Taxes and Unemployment: a Survey of the Aggregate Evidence. N° 19/02. Paolo Battocchio Francesco Menoncin. Optimal Portfolio Strategies with Stochastic Wage Income and Inflation: The Case of a Defined Contribution Pension Plan. N° 20/02. Mauro Mastrogiacomo. Dual Retirement in Italy and Expectations. N° 21/02. Olivia S. Mitchell David McCarthy. Annuities for an Ageing World.

(39) N° 22/02. Chris Soares Mark Warshawsky. Annuity Risk: Volatility and Inflation Exposure in Payments from Immediate Life Annuities. N° 23/02. Ermanno Pitacco. Longevity Risk in Living Benefits. N° 24/02. Laura Ballotta Steven Haberman. Valuation of Guaranteed Annuity Conversion Options. N° 25/02. Edmund Cannon Ian Tonks. The Behaviour of UK Annuity Prices from 1972 to the Present. N° 26/02. E. Philip Davis. Issues in the Regulation of Annuities Markets. N° 27/02. Reinhold Schnabel. Annuities in Germany before and after the Pension Reform of 2001. N° 28/02. Luca Spataro. New Tools in Micromodeling Retirement Decisions: Overview and Applications to the Italian Case. N° 29/02. Marco Taboga. The Realized Equity Premium has been Higher than Expected: Further Evidence. N° 30/03. Bas Arts Elena Vigna. A Switch Criterion for Defined Contribution Pension Schemes. N° 31/03. Giacomo Ponzetto. Risk Aversion and the Utility of Annuities. N° 32/04. Angelo Marano Paolo Sestito. Older Workers and Pensioners: the Challenge of Ageing on the Italian Public Pension System and Labour Market. N° 33/04. Elsa Fornero Carolina Fugazza Giacomo Ponzetto. A Comparative Analysis of the Costs of Italian Individual Pension Plans. N° 34/04. Chourouk Houssi. Le Vieillissement Démographique : Problématique des Régimes de Pension en Tunisie. N° 35/04. Monika Bütler Olivia Huguenin Federica Teppa. What Triggers Early Retirement. Results from Swiss Pension Funds. N° 36/04. Laurence J. Kotlikoff. Pensions Systems and the Intergenerational Distribution of Resources. N° 37/04. Jay Ginn. Actuarial Fairness or Social Justice? A Gender Perspective on Redistribution in Pension Systems. N° 38/05. Carolina Fugazza Federica Teppa. An Empirical Assessment of the Italian Severance Payment (TFR). N° 39/05. Anna Rita Bacinello. Modelling the Surrender Conditions in Equity-Linked Life Insurance. N° 40/05. Carolina Fugazza Massimo Guidolin Giovanna Nicodano. Investing for the Long-Run in European Real Estate. Does Predictability Matter?. N° 41/05. Massimo Guidolin Giovanna Nicodano. Small Caps in International Equity Portfolios: The Effects of Variance Risk.. N° 42/05. Margherita Borella Flavia Coda Moscarola. Distributive Properties of Pensions Systems: a Simulation of the Italian Transition from Defined Benefit to Defined Contribution. N° 43/05. John Beshears James J. Choi David Laibson Brigitte C. Madrian. The Importance of Default Options for Retirement Saving Outcomes: Evidence from the United States.

(40) N° 44/05. Henrik Cronqvist. Advertising and Portfolio Choice. N° 45/05. Claudio Campanale. Increasing Returns to Savings and Wealth Inequality. N° 46/05. Annamaria Lusardi Olivia S. Mitchell. Financial Literacy and Planning: Implications for Retirement Wellbeing. N° 47/06. Michele Belloni Carlo Maccheroni. Actuarial Neutrality when Longevity Increases: An Application to the Italian Pension System. N° 48/06. Onorato Castellino Elsa Fornero. Public Policy and the Transition to Private Pension Provision in the United States and Europe. N° 49/06. Mariacristina Rossi. Examining the Interaction between Saving and Contributions to Personal Pension Plans. Evidence from the BHPS. N° 50/06. Andrea Buffa Chiara Monticone. Do European Pension Reforms Improve the Adequacy of Saving?. N° 51/06. Giovanni Mastrobuoni. The Social Security Earnings Test Removal. Money Saved or Money Spent by the Trust Fund?. N° 52/06. Luigi Guiso Tullio Jappelli. Information Acquisition and Portfolio Performance. N° 53/06. Giovanni Mastrobuoni. Labor Supply Effects of the Recent Social Security Benefit Cuts: Empirical Estimates Using Cohort Discontinuities. N° 54/06. Annamaria Lusardi Olivia S. Mitchell. Baby Boomer Retirement Security: The Roles of Planning, Financial Literacy, and Housing Wealth. N° 55/06. Antonio Abatemarco. On the Measurement of Intra-Generational Lifetime Redistribution in Pension Systems. N° 56/07. John A. Turner Satyendra Verma. Why Some Workers Don’t Take 401(k) Plan Offers: Inertia versus Economics. N° 57/07. Giovanni Mastrobuoni Matthew Weinberg. Heterogeneity in Intra-Monthly Consumption. Patterns, SelfControl, and Savings at Retirement. N° 58/07. Elisa Luciano Jaap Spreeuw Elena Vigna. Modelling Stochastic Mortality for Dependent Lives. N° 59/07. Riccardo Calcagno Roman Kraeussl Chiara Monticone. An Analysis of the Effects of the Severance Pay Reform on Credit to Italian SMEs. N° 60/07. Riccardo Cesari Giuseppe Grande Fabio Panetta. La Previdenza Complementare in Italia: Caratteristiche, Sviluppo e Opportunità per i Lavoratori. N° 61/07. Irina Kovrova. Effects of the Introduction of a Funded Pillar on the Russian Household Savings: Evidence from the 2002 Pension Reform. N° 62/07. Margherita Borella Elsa Fornero Mariacristina Rossi. Does Consumption Respond to Predicted Increases in Cash-onhand Availability? Evidence from the Italian “Severance Pay”. N° 63/07. Claudio Campanale. Life-Cycle Portfolio Choice: The Role of Heterogeneous UnderDiversification. N° 64/07. Carlo Casarosa Luca Spataro. Rate of Growth of Population, Saving and Wealth in the Basic Life-cycle Model when the Household is the Decision Unit. N° 65/07. Annamaria Lusardi. Household Saving Behavior: The Role of Literacy, Information and Financial Education Programs.

(41) N° 66/07. Maarten van Rooij Annamaria Lusardi Rob Alessie. Financial Literacy and Stock Market Participation. N° 67/07. Carolina Fugazza Maela Giofré Giovanna Nicodano. International Diversification and Labor Income Risk.

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