TY  - JOUR
T1  - Time variability in market risk aversion
JF  - Journal of Financial Research
Y1  - 2009
A1  - Berger,Dave
A1  - Turtle,Harry J
KW  - Finance
AB  - 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 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.
VL  - 32
UR  - http://www.blackwellpublishing.com/journal.asp?ref=0270-2592
CP  - 3
U2  - a
U4  - 10695460865
ID  - 10695460865
ER  -