We show that the drop in the equity premium since the 1970s can partially be explained by the shifts in the level and composition of U.S. income inequality. To show it, we use a framework that extends the standard production-based Consumption Capital Asset Pricing Model by allowing for heterogeneity of agents, who differ in their ability to hold financial assets and their labor shares of income. The top income group, capital owners, own the firms and provide labor and the rest of the economy is populated by workers who consume their labor income and income from risk-free government and corporate bonds. Intuitively, an increase in the share of capital in income rises the riskiness of consumption and predicts higher equity premium. A rise in the share of capital owners' non-risky labor income leads to lower excess return. Time-series U.S. equity premium regressions and cross-country excess return comparison significantly and robustly validate predictions of the model. The quantitative experiment of shifting capital and labor income shares of capital owners explains one third of the observed reduction in the U.S. equity premium. The reason is that, during the last five decades, capital owners benefited from higher average growth in their non-risky labor income relative to the capital income.

我们表明，自 1970 年代以来股权溢价的下降可以部分解释为美国收入不平等程度和构成的变化。为了证明这一点，我们使用了一个框架，该框架扩展了标准的基于生产的消费资本资产定价模型，允许代理人的异质性，他们持有金融资产的能力和劳动收入份额不同。最高收入群体，即资本所有者，拥有公司并提供劳动力，而经济的其他部分则由消耗劳动力收入以及无风险政府和公司债券收入的工人组成。直观上，资本在收入中的份额增加会增加消费的风险并预测更高的股权溢价。资本所有者的非风险劳动收入份额的增加导致超额回报降低。时间序列美国 股权溢价回归和跨国超额收益比较显着且有力地验证了模型的预测。资本所有者转移资本和劳动收入份额的定量实验解释了观察到的美国股权溢价减少的三分之一。原因是，在过去的五年中，资本所有者受益于其非风险劳动收入相对于资本收入的更高平均增长。