World Equity Premium Based Risk Aversion Estimates

Lorenzo C. G. Pozzi, Casper De Vries, Jorn Zenhorst and de Vries Casper G
Authors registered in the RePEc Author Service: Casper G. de Vries

No 3152, CESifo Working Paper Series from CESifo

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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Working Paper: World Equity Premium based Risk Aversion Estimates (2010)
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