Risk Aversion and Stock Prices

Ray Fair ()

No 1382, Cowles Foundation Discussion Papers from Cowles Foundation, Yale University

Abstract: This paper uses data on companies that have been in the S&P 500 index since 1957 to examine whether risk aversion has decreased since 1995. The evidence suggests that it has not. There is no evidence that more risky companies have had larger increases in their price-earnings ratios since 1995 than less risky companies.

Keywords: Risk aversion; Stock prices (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin, nep-fmk and nep-rmg
Date: 2002-09, Revised 2003-02

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Working Paper: Risk Aversion and Stock Prices (2002)
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Persistent link: http://EconPapers.repec.org/RePEc:cwl:cwldpp:1382

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