Time Varying Risk Aversion

We thank Nick Barberis, John Campbell , James Dow, Stefan Nagel, and Ivo Welch for very helpful comments. We also benefited from comments from participants at seminars the University of Chicago Booth, Boston College, University of Minnesota, University of Michigan, Hong Kong University, London Business School, Statistics Norway, The European Central Bank, University of Maastricht, the 2011 European Financial Association Meetings, the 201 2 European Economic Association Meetings, the April 2013 NBER Behavioral Finance Meeting, UCLA behavioral finance association, Stanford University. Luigi Guiso gratefully acknowledges financial support from PEGGED, Paola Sapienza from the Zell Center for Risk and Research at Kellogg School of Management, and Luigi Zingales from the Stigler Center and the Initiative on Global Markets at the University of Chicago Booth School of Business. We thank Filippo Mezzanotti for excellent research assistantship, and Peggy Eppink for editorial help. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.