Abstract

  
 

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World Equity Premium Based Risk
Aversion Estimates


Lorenzo Pozzi


Erasmus University Rotterdam (EUR); Tinbergen Institute

Casper G. De Vries


Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE); Tinbergen Institute; CESifo (Center for Economic Studies and Ifo Institute for Economic Research)

Jorn Zenhorst


Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE); Tinbergen Institute
January 4, 2010

Tinbergen Institute Discussion Paper 10-007/2

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.

Number of Pages in PDF File: 11

Keywords: Equity premium puzzle, Jackknife, Pooling

JEL Classification: E21, G12

working papers series


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Date posted: January 10, 2010  

Suggested Citation

Pozzi, Lorenzo, De Vries, Casper G. and Zenhorst, Jorn, World Equity Premium Based Risk Aversion Estimates (January 4, 2010). Tinbergen Institute Discussion Paper 10-007/2. Available at SSRN: http://ssrn.com/abstract=1532686 or http://dx.doi.org/10.2139/ssrn.1532686

Contact Information

Lorenzo Pozzi (Contact Author)
Erasmus University Rotterdam (EUR) ( email )
Burgemeester Oudlaan 50
3000 DR Rotterdam, 3062PA
Netherlands
+31 10 408 12 56 (Phone)
+31 10 408 91 61 (Fax)
Tinbergen Institute ( email )
Burg. Oudlaan 50
Rotterdam, 3062 PA
Netherlands
Casper De Vries
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) ( email )
P.O. Box 1738
3000 DR Rotterdam, NL 3062 PA
Netherlands
+31 10 408 8956 (Phone)
+31 10 408 9147 (Fax)
Tinbergen Institute
Burg. Oudlaan 50
Rotterdam, 3062 PA
Netherlands
+31 10 408 8956 (Phone)
+31 10 408 9147 (Fax)
CESifo (Center for Economic Studies and Ifo Institute for Economic Research)
Poschinger Str. 5
Munich, DE-81679
Germany
HOME PAGE: http://www.CESifo.de
Jorn Zenhorst
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) ( email )
P.O. Box 1738
3000 DR Rotterdam, NL 3062 PA
Netherlands
HOME PAGE: http://www.eur.nl/ese/english/
Tinbergen Institute
Burg. Oudlaan 50
Rotterdam, 3062 PA
Netherlands
HOME PAGE: http://www.tinbergen.nl
Feedback to SSRN (Beta)


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