Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/39852
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dc.contributor.authorPozzi, Lorenzo C. G.en_US
dc.contributor.authorde Vries, Casper G.en_US
dc.contributor.authorZenhorst, Jornen_US
dc.date.accessioned2010-08-27en_US
dc.date.accessioned2010-09-10T11:58:14Z-
dc.date.available2010-09-10T11:58:14Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/39852-
dc.description.abstractThe 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.en_US
dc.language.isoengen_US
dc.publisher|aCenter for Economic Studies and Ifo Institute (CESifo) |cMunichen_US
dc.relation.ispartofseries|aCESifo working paper Fiscal Policy, Macroeconomics and Growth |x3152en_US
dc.subject.jelE21en_US
dc.subject.jelG12en_US
dc.subject.ddc330en_US
dc.subject.keywordequity premium puzzleen_US
dc.subject.keywordjackknifeen_US
dc.subject.keywordpoolingen_US
dc.subject.stwEquity Premium Puzzleen_US
dc.subject.stwRisikoaversionen_US
dc.subject.stwCapital Asset Pricing Modelen_US
dc.subject.stwTheorieen_US
dc.subject.stwSchätzungen_US
dc.subject.stwOECD-Staatenen_US
dc.titleWorld equity premium based risk aversion estimatesen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn634059521en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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