%0 Journal Article
%J Journal of Financial Research
%D 2009
%T Time variability in market risk aversion
%A Berger,Dave
%A Turtle,Harry J
%K Finance
%X 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.
%B Journal of Financial Research
%V 32
%P 285-307
%8 2009
%G eng
%U http://www.blackwellpublishing.com/journal.asp?ref=0270-2592
%N 3
%2 a
%4 10695460865
%$ 10695460865