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Title:World equity premium based risk aversion estimates PDF Logo
Authors:Pozzi, Lorenzo C. G.
de Vries, Casper G.
Zenhorst, Jorn
Issue Date:2010
Series/Report no.:CESifo working paper Fiscal Policy, Macroeconomics and Growth 3152
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.
Subjects:equity premium puzzle
jackknife
pooling
JEL:E21
G12
Document Type:Working Paper
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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