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

Hanno Lustig, YiLi Chien & Harold Cole
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...
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