Countercyclical Risks, Consumption, and Portfolio Choice: Theory and Evidence

The author is highly grateful to Alexander Michaelides for his insights and advice. For helpful comments, the author thanks Joa˜o Cocco, Luigi Guiso, Christopher Hansman, Michael Haliassos, Wei Jiang, Marcin Kacperczyk, Hugues Langlois, Juhani Linnainmaa, Giovanna Nicodano, Stefan Nagel, Tarun Ramadorai, and seminar participants and conference participants at the American Economic Association 2019 Annual Meeting Poster Session, the American Finance Association 2019 Annual Meeting PhD Session, the Centre for Economic Policy Research 2018 European Conference on Household Finance, the European Financial Management Association 2018 Annual Meeting, the ESSEC Business School Workshop on Nonstandard Investment Choice, the Financial Management Association 2018 Annual Meeting, Imperial College London, Lancaster University Management School, the Midwest Financial Association 2019 Annual Meeting, the 9th Miami Behavioral Finance Conference, the Paris December Finance Meeting, the Society for Financial Studies Cavalcade Asia-Pacific, the First Queen Mary University of London PhD Workshop, the University of Exeter Business School, the University of Houston, the University of Missouri, the University of Science and Technology of China, the University of Sydney Business School, and the University of Washington. All errors remain the author’s own.