World Equity Premium based Risk Aversion Estimates

L.C.G. Pozzi, Casper de Vries and J. Zenhorst
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L.C.G. Pozzi: Erasmus University Rotterdam
J. Zenhorst: Erasmus University Rotterdam

No 10-007/2, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: The equity premium puzzle holds that the coefficient of relative risk aversion estimated from the consumption based CAPM under power utility is excessively high. Moreover, estimates in the literature vary considerably across countries. We gauge the uncertainty pertaining to the country risk aversion estimates by means of jackknife resampling and pooling. The confidence band for the world risk aversion estimate from the pooled country data is much tighter and the pooled point estimate presents less of a puzzle than the individual country estimates.

Keywords: Equity premium puzzle; Jackknife; Pooling (search for similar items in EconPapers)
JEL-codes: E21 G12 (search for similar items in EconPapers)
Date: 2010-01-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Working Paper: World Equity Premium Based Risk Aversion Estimates (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20100007

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