NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

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

Markus K. Brunnermeier, Stefan Nagel

NBER Working Paper No. 12809
Issued in December 2006

---- Acknowledgements -----

We thank John Campbell, Darrell Duffie, Mark Gertler, Francisco Gomes, Joy Ishii, Frank de Jong, Christian Julliard, Martin Lettau, Chris Malloy, Filippos Papakonstantinou, Jonathan Parker, Jacob Sagi, Ken Singleton, Ilya Strebulaev, Annette Vissing-Jorgensen, Yihong Xia, Motohiro Yogo, two anonymous referees, and seminar participants at the CEPR Meetings in Gerzensee, the Five-Star Conference at NYU, HECER Helsinki, Humboldt University Berlin, IAEEG Trier, London School of Economics, the Stanford-Berkeley joint Finance seminar, and UC Irvine for useful comments. Brunnermeier acknowledges financial support from the National Science Foundation and the Alfred P. Sloan Foundation. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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