Pozzi, Lorenzo
[Verfasser:in]
;
de Vries, Casper G.
[Sonstige Person, Familie und Körperschaft];
Zenhorst, Jorn
[Sonstige Person, Familie und Körperschaft]
World Equity Premium Based Risk Aversion Estimates
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 11, 2010 erstellt
Beschreibung:
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