Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/39852 
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dc.contributor.authorPozzi, Lorenzo C. G.en
dc.contributor.authorde Vries, Casper G.en
dc.contributor.authorZenhorst, Jornen
dc.date.accessioned2010-08-27-
dc.date.accessioned2010-09-10T11:58:14Z-
dc.date.available2010-09-10T11:58:14Z-
dc.date.issued2010-
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
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x3152en
dc.subject.jelE21en
dc.subject.jelG12en
dc.subject.ddc330en
dc.subject.keywordequity premium puzzleen
dc.subject.keywordjackknifeen
dc.subject.keywordpoolingen
dc.subject.stwEquity Premium Puzzleen
dc.subject.stwRisikoaversionen
dc.subject.stwCapital Asset Pricing Modelen
dc.subject.stwTheorieen
dc.subject.stwSchätzungen
dc.subject.stwOECD-Staatenen
dc.titleWorld equity premium based risk aversion estimates-
dc.typeWorking Paperen
dc.identifier.ppn634059521en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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