In this Online Appendix we provide supplementary material to the article. In particular, Section OA.1 contains detailed information on the data sources and variables used in the analyses. Section OA.2 details how we estimate net saving flows to perform the Dietz’ adjustment to our return measures. Section OA.3 discusses the bias from not observing the timing of net saving flows. Section OA.4 details the imputation of defined contribution private pension wealth; Section OA.5 discusses issues related to the imputation of services from safe assets; Section OA.6 how we construct the β's for the stock market portfolio, private equity, and housing. Finally, Section OA.7 shows how we correct estimates of the higher moments of the fixed effect estimates to account for small-T bias. Additional figures and tables are in Section OA.8 and Section OA.9, respectively.
Fagereng, Andreas - Statistics Norway
Guiso, Luigi - Einaudi Institute for Economics and Finance
Malacrino, Davide - International Monetary Fund
Pistaferri, Luigi - Stanford University