Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2010-01-05
Number: 10-007/2
Author-Name: L.C.G. Pozzi
Author-Workplace-Name: Erasmus University Rotterdam
Author-Name: C.G. de Vries
Author-Workplace-Name: Erasmus University Rotterdam
Author-Name: J. Zenhorst
Author-Workplace-Name: Erasmus University Rotterdam
Title: World Equity Premium based Risk Aversion Estimates
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.
Classification-JEL: E21, G12
Keywords: Equity premium puzzle, Jackknife, Pooling
File-Url: https://papers.tinbergen.nl/10007.pdf
File-Format: application/pdf
File-Size: 157054 bytes
Handle: RePEc:tin:wpaper:20100007