EconPapers    
Economics at your fingertips  
 

Measuring Risk Aversion Across Countries from the Consumption-CAPM: A Spectral Approach

Ekaterini Panopoulou and Sarantis Kalyvitis

A chapter in Wavelet Applications in Economics and Finance, 2014, pp 249-261 from Springer

Abstract: Abstract Using the Consumption-CAPM, Campbell (2003, Consumption-based asset pricing, Constantinides G, Harris M, Stulz R (eds), Handbook of the economics of finance, Amsterdam, North-Holland) reports cross-country evidence that imply implausibly large coefficients of relative risk aversion, thus confirming the “equity premium puzzle” in an international context. In this paper we adopt a spectral approach to re-estimate the values of risk aversion over the frequency domain. Our findings indicate that at lower frequencies risk aversion falls substantially across countries, thus yielding in many cases reasonable values of the implied coefficient of risk aversion.

Keywords: Risk Aversion; Asset Price; Excess Return; Relative Risk Aversion; Capital Asset Price Model (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:dymchp:978-3-319-07061-2_11

Ordering information: This item can be ordered from
http://www.springer.com/9783319070612

DOI: 10.1007/978-3-319-07061-2_11

Access Statistics for this chapter

More chapters in Dynamic Modeling and Econometrics in Economics and Finance from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

 
Page updated 2025-04-01
Handle: RePEc:spr:dymchp:978-3-319-07061-2_11