Asset returns and State-Dependent Risk Preferences

Details

Serval ID
serval:BIB_7BC09815973C
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Asset returns and State-Dependent Risk Preferences
Journal
Journal of Business and Economic Statistics
Author(s)
Gordon  S., St-Amour  P.
ISSN
0735-0015
Publication state
Published
Issued date
07/2004
Peer-reviewed
Oui
Volume
22
Number
3
Pages
241-252
Language
english
Notes
Lead paper
Abstract
We propose a consumption-based capital asset pricing model with state-dependent risk aversion. The corresponding risk premium includes consumption risk and the risk associated with variations in preferences. Our model can be estimated without specifying the functional form linking risk aversion with state variables. The estimates are based on Markov chain Monte Carlo estimation of exact discrete-time parameterizations for linear diffusion processes. We find estimates for relative risk aversion that are reasonable by usual standards, correlated with both consumption and returns, and indicative of an additional preference risk of holding the assets.
Keywords
Asset pricing puzzle, Bayesian analysis, Continuous-time estimation, Markov chain, Monte Carlo
Web of science
Create date
30/04/2008 14:58
Last modification date
20/08/2019 14:37
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