Risk Aversion and Stock Prices

Fair, Ray C.

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Risk Aversion and Stock Prices

Yale ICF Working Paper No. 02-36

Cowles Foundation Discussion Paper No. 1382

23 Pages Posted: 10 Oct 2002

See all articles by Ray C. Fair

Ray C. Fair

Yale University - Cowles Foundation; Yale School of Management - International Center for Finance

Date Written: September 2002

Abstract

This paper uses data on companies that have been in the S&P 500 index since 1957 to examine whether risk aversion has decreased since 1995. The evidence suggests that it has not. There is no evidence that more risky companies have had larger increases in their price-earnings ratios since 1995 than less risky companies.

Keywords: Risk Aversion, Stock Prices

JEL Classification: G12

Suggested Citation: Suggested Citation

Fair, Ray C., Risk Aversion and Stock Prices (September 2002). Yale ICF Working Paper No. 02-36, Cowles Foundation Discussion Paper No. 1382, Available at SSRN: https://ssrn.com/abstract=335820