Measuring Risk Aversion Across Countries from the Consumption-CAPM: A Spectral Approach

Panopoulou, Ekaterini and Kalyvitis, Sarantis (2014) Measuring Risk Aversion Across Countries from the Consumption-CAPM: A Spectral Approach. In: Gallegati, Marco and Semmler, Willi, eds. Wavelet Applications in Economics and Finance. Dynamic Modeling and Econometrics in Economics and Finance, 20 . Springer International Publishing, pp. 249-261. ISBN 978-3-319-07060-5. E-ISBN 978-3-319-07061-2. (doi:10.1007/978-3-319-07061-2_11) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:43025)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
Official URL: https://doi.org/10.1007/978-3-319-07061-2_11

Abstract

Using the Consumption-CAPM, Campbell (2003, Consumption-based asset pricing, Constantinides G, Harris M, Stulz R (eds), Handbook of the economics of finance, Amsterdam, North-Holland) reports cross-country evidence that imply implausibly large coefficients of relative risk aversion, thus confirming the “equity premium puzzle” in an international context. In this paper we adopt a spectral approach to re-estimate the values of risk aversion over the frequency domain. Our findings indicate that at lower frequencies risk aversion falls substantially across countries, thus yielding in many cases reasonable values of the implied coefficient of risk aversion.

Item Type:	Book section
DOI/Identification number:	10.1007/978-3-319-07061-2_11
Subjects:	H Social Sciences > HG Finance
Divisions:	Divisions > Kent Business School - Division > Kent Business School (do not use)
Depositing User:	Ekaterini Panopoulou
Date Deposited:	19 Sep 2014 20:11 UTC
Last Modified:	09 Mar 2023 11:33 UTC
Resource URI:	https://kar.kent.ac.uk/id/eprint/43025 (The current URI for this page, for reference purposes)

University of Kent Author Information

Panopoulou, Ekaterini.

Creator's ORCID:	https://orcid.org/0000-0001-5080-9965
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