Our paper represents the first attempt in the literature to estimate the properties of business income risk from …-2009, we extensively document the empirical stylized facts about the evolution of various business income risk measures over … privately held businesses in the US. Using a new, large, and confidential panel of US income tax returns for the period 1987 …

facts of income risk from privately held businesses in the US using a large panel. We employ a new, large, and confidential … distribution of business income risk has less mass in the middle and exhibits significantly thicker tails, compared to the … distribution of labor income risk. Our data also suggest that high-income households are more likely to face the tail risks on both …

. Our empirical findings show that: (1) industries with higher sunk capital costs and profit uncertainty have significantly …

response functions of earnings shocks and find important asymmetries: Positive shocks to high-income individuals are quite … transitory, whereas negative shocks are very persistent; the opposite is true for low-income individuals. Finally, we use these …