Standard portfolio theory predicts strong investor responses to changes in the equity premium, but empirical evidence has found much lower sensitivity. This column studies the effects of changes in the Norwegian wealth tax, which generated variation in the after-tax equity premium. It finds that investors adjusted strongly, but slowly, with adjustment continuing for several years. This is consistent with the presence of adjustment frictions, such as attention or information costs. The findings can also help reconcile household portfolio behaviour with standard levels of risk aversion.