01014nas a2200157   4500008004100000245004500041210004500086260000900131300001200140490000700152520058200159653001200741100001700753700002100770856006500791       2009                        eng d00aTime variability in market risk aversion0 aTime variability in market risk aversion  c2009  a285-3070 v323 aWe 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 ratio of consumption-to-income falls, relative risk aversion decreases. We also document variation in risk aversion across portfolios: risk aversion is highest for small and value portfolios.10aFinance1 aBerger, Dave1 aTurtle, Harry, J  uhttp://www.blackwellpublishing.com/journal.asp?ref=0270-2592