NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Fight or Flight? Portfolio Rebalancing by Individual Investors

Laurent E. Calvet, John Y. Campbell, Paolo Sodini

NBER Working Paper No. 14177
Issued in July 2008

---- Acknowledgements -----

We thank Statistics Sweden for providing the data. We received helpful comments from Markus Brunnermeier, Ren? Garcia, David McCarthy, Stefan Nagel, Paolo Zaffaroni, three anonymous referees, and seminar participants at Bergen, Boston University, the Federal Reserve Bank of Minneapolis, the Financial Services Authority of the UK, Harvard University, Imperial College, MIT, Oxford University, Pompeu Fabra, SIFR, the Stockholm School of Economics, the Swedish Financial Supervisory Authority, Universit? Libre de Bruxelles, the University of Helsinki, the University of Venice, the Wharton School, the 2007 Brazilian Finance Society meeting in Sao Paulo, the 2007 Summer Finance Conference in Gerzensee, the Fall 2007 NBER Asset Pricing Meeting, and the 2008 AFA meetings in New Orleans. The project benefited from excellent research assistance by Daniel Sunesson and Sammy El-Ghazaly. This material is based upon work supported by the Agence Nationale de la Recherche under a Chaire d?Excellence to Calvet, BFI under a Research Grant to Sodini, the HEC Foundation, the National Science Foundation under Grant No. 0214061 to Campbell, Riksbank, and the Wallander and Hedelius 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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