Replication data for: Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-evidence on Individuals

We use data from the Panel Study of Income Dynamics 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 household portfolio allocation seems to be inertia: households
rebalance only very slowly following inflows and outflows or capital gains
and losses.