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Do Wealth Fluctuations Generate Time-varying Risk Aversion?
Markus Konrad Brunnermeier
Stefan Nagel
其他書名
Micro-evidence on Individuals' Asset Allocation
出版
National Bureau of Economic Research
, 2006
URL
http://books.google.com.hk/books?id=qfD_TgEACAAJ&hl=&source=gbs_api
註釋
We use data from the PSID to investigate how households' portfolio allocations change in response to wealth fluctuations. Persistent habits, consumption commitments, and subsistence levels can generate time-varying risk aversion with the consequence that when the level of liquid wealth changes, the proportion a household invests in risky assets should also change in the same direction. In contrast, our analysis shows that the share of liquid assets that households invest in risky assets is not affected by wealth changes. Instead, one of the major drivers of households' portfolio allocation seems to be inertia: households rebalance only very slowly following inflows and outflows or capital gains and losses.