Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-Evidence on Individuals' Asset Allocation

By Markus K. Brunnermeier, Stefan Nagel. 2008

490 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/fb97ac0cd5d71316fb9cd651c1b8b9876a7f3eb5

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Citations in the corpus

Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010, background): “My objective is a conceptual framework for the dynamics of 7For further evidence on the slowness of individual portfolio adjustments, see Lusardi (1999, 2003), Brunnermeier and Nagel (2008), and Bilias, Georgarakos, and Haliassos (2009).”
Value versus growth investing: Why do different investors have different styles? (2015, unknown): “It should also be emphasized that recent studies related to individual investor behavior have had difficulties explaining even 10% of the cross-sectional variation when including a large set of individual characteristics (e.g., Brunnermier and Nagel (2008)).”
Why Do Household Portfolio Shares Rise in Wealth (2010, unknown): “Therefore, a regression of changes in the portfolio share onto changes in wealth generates a small negative coefficient in the nonhomothetic life-cycle model, which is consistent with the empirical evidence (Brunnermeier and Nagel, 2008).”
Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios (2013, unknown): “Several recent papers suggest that panel data offer a possible solution to this identification problem when the characteristic of interest exhibits sufficient time variations (e.g. Brunnermeier and Nagel 2008, CCS 2009a, Chiappori and Paiella 2008).”
Participation Constraints in the Stock Market: Evidence from Unexpected Inheritance Due to Sudden Death (2011, unknown): “In terms of methodology, Brunnermeier and Nagel (2008) is the closest to our study.”
Migration, Risk, and Uncertainty: Theoretical Perspectives (2012, background): “Do migration experiences modify willingness to take risk, perhaps as a result of enhanced risk resilience or increased experience of building social networks which reduce risk levels for individuals in the external environment (Brunnermeier and Nagel, 2005)?”
The Sum of All FEARS: Investor Sentiment and Asset Prices (2015, unknown): “Second, there is little evidence that risk-aversion changes rapidly (see Brunnermeier and Nagel (2008)).”
Rare Macroeconomic Disasters (2012, background): “Empirical support for this familiar specification appears in Brunnermeier and Nagel (2008) and Chiappori and Paiella (2008).”
Gender differences in optimism and asset allocation (2014, background): “Given that empirical evidence to date documents a negative (Guiso and Paiella (2008)) or no (Brunnermeier and Nagel (2008) relation between wealth and risk aversion, the negative (positive) correlation between wealth (Worth) and optimism (pessimism) presented in Table 3 indirectly suggests that the…”
Asset Price Dynamics with Slow-Moving Capital (2010, background): “7For further evidence on the slowness of individual portfolio adjustments, see Lusardi (1999), Lusardi (2003), Brunnermeier and Nagel (2008), and Bilias, Georgarakos, and Haliassos (2009).”