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• W2010556404 abstract "We adopt realized covariances to estimate the coefficient of risk aversion across portfolios and through time. Our approach yields second moments that are free from measurement error and not influenced by a specified model for expected returns. Supporting the permanent income hypothesis, we find risk aversion responds to consumption-smoothing behavior. As income increases, or as the consumption-to-income ratio falls, relative risk aversion decreases. We also document variation in risk aversion across portfolios: risk aversion is highest for small and value portfolios." @default.
• W2010556404 created "2016-06-24" @default.
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• W2010556404 date "2009-09-01" @default.
• W2010556404 modified "2023-09-23" @default.
• W2010556404 title "TIME VARIABILITY IN MARKET RISK AVERSION" @default.
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• W2010556404 doi "https://doi.org/10.1111/j.1475-6803.2009.01251.x" @default.
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