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  "genre": "empirical",
  "subfield": "asset_pricing",
  "subfield_secondary": "macro_finance",
  "primary_method": "reduced_form_regression",
  "identification": {
   "estimand": "Cross-sectional risk prices (lambda) on exposures (betas) to multi-quarter capital share growth across portfolio cross-sections",
   "strategy": "Two-pass Fama-MacBeth expected return-beta regressions using long-horizon (H-quarter) capital share betas, with horse races against Fama-French and intermediary factors; household-level income-share proxy as an alternative SDF",
   "key_assumptions": [
    "Linearized SDF in capital share growth (and consumption) is an adequate representation",
    "Long-horizon betas capture the relevant risk exposure",
    "Mimicking income-share factor based on capital share proxies top-wealth consumption growth"
   ],
   "threats_addressed": [
    "Explanatory power could reflect aggregate consumption risk rather than capital share risk",
    "Overlap with existing pricing factors (SMB, HML, intermediary factors)",
    "Estimation uncertainty in two-pass regressions, handled via bootstrapped confidence intervals"
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   "convention_notes": "Risk-price tables share boilerplate notes: estimates scaled by 100, bootstrapped 95% confidence intervals in square brackets, sample period stated, and the cross-sectional regression equation reproduced. Fit is reported via adjusted R2, RMSE/RMSR and BIC. The preliminary income-share regressions instead use OLS t-statistics with significance stars.",
   "units_stated_in_notes": true,
   "standard_errors_description": "mixed"
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    "claim": "Stock wealth is highly concentrated, with the top 5% holding most of the market value",
    "evidence_type": "table",
    "evidence_ref": "Table I"
   },
   {
    "claim": "Top stock-wealth groups' income shares co-move with the capital share",
    "evidence_type": "table",
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   },
   {
    "claim": "Capital share betas explain average returns across equity characteristic portfolios with high fit",
    "evidence_type": "figure",
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   {
    "claim": "Capital share exposure subsumes SMB and HML in pricing equity portfolios",
    "evidence_type": "table",
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   {
    "claim": "Capital share risk competes favorably with intermediary factors for equities and other asset classes",
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    "evidence_ref": "Tables V-VI"
   },
   {
    "claim": "A top-10% consumption proxy from household data has similar explanatory power",
    "evidence_type": "table",
    "evidence_ref": "Table VIII"
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   {
    "claim": "The factor fails to price industry, FX, commodity and momentum portfolios",
    "evidence_type": "none_stated",
    "evidence_ref": "Introduction paragraph 5"
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  "notes": "The Econometric Model section is assigned the empirical_design role rather than theory because it sets up the estimation framework. Figure uncertainty is marked unclear because the captions do not mention error bands. The 'other' move in paragraph 5 marks a discussion of the factor's limitations."
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