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Replication data for: Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Rebalancing?

Version
V0
Resource Type
Dataset
Creator
  • Chien, YiLi
  • Cole, Harold
  • Lustig, Hanno
Publication Date
2012-05-01
Description
  • Abstract

    Our paper examines whether the failure of unsophisticated investors to rebalance their portfolios can help to explain the countercyclical volatility of aggregate risk compensation in financial markets. To answer this question, we set up a model in which a large mass of investors do not rebalance their portfolio shares in response to aggregate shocks, while a smaller mass of active investors do. We find that intermittent rebalancers more than double the effect of aggregate shocks on the time variation in risk premia by forcing active traders to sell more shares in good times and buy more shares in bad times. (JEL D14, E32, G11, G12)
Availability
Download
Relations
  • Is supplement to
    DOI: 10.1257/aer.102.6.2859 (Text)
Publications
  • Chien, YiLi, Harold Cole, and Hanno Lustig. “Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Rebalancing?” American Economic Review 102, no. 6 (October 2012): 2859–96. https://doi.org/10.1257/aer.102.6.2859.
    • ID: 10.1257/aer.102.6.2859 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 1 | Registration Date: 2020-05-18

Chien, YiLi; Cole, Harold; Lustig, Hanno (2012): Replication data for: Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Rebalancing?. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E116108