We provide a systematic analysis of the properties of individual returns to wealth using twenty years of population … percentile. Second, heterogeneity in returns does not arise merely from differences in the allocation of wealth between safe and … risky assets: returns are heterogeneous even within asset classes. Third, returns are positively correlated with wealth …

capital and wealth. As a measure of wealth this is problematic because it ignores the value of human capital and transfer … wealth, which have grown enormously over the last 300 years. Thus the constancy of the wealth/income ratio as portrayed in … his data is an illusion. Further, the types of wealth that he does not measure are more equally distributed than tradeable …

Recent theories suggest that both risk and mispricing are associated with commonality in security returns, and that the … mispricing factors which capture long- and short-horizon mispricing. Our financing factor is based on evidence that managers … exploit long-horizon mispricing by issuing or repurchasing equity. Our earnings surprise factor, which is motivated by …