Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/7181
Título: | Wealth shocks and risk aversion |
Autor(es): | Sousa, Ricardo M. |
Palavras-chave: | Wealth Risk aversion |
Data: | 2007 |
Editora: | Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE) |
Citação: | "NIPE Working Paper". 28 (2007) 1-51. |
Resumo(s): | Modern literature departs from time-separable constant relative risk aversion preferences to explain asset pricing facts. This deviation typically implies that wealth shocks generate transitory variations in agents’ relative risk aversion and, possibly, portfolio re-allocations over time. I empirically analyze this relationship using U.S. macroeconomic data and and evidence for time-variation in portfolio shares that is consistent with counter-cyclical risk aversion. These results suggest, therefore, that wealth-dependent, habit-formation or loss and disappointment aversion utility functions are a good description of preferences. Controlling for observed versus expected asset returns, I also show that: (i) wealth effects are significant (although temporary) and there is no evidence of inertia contrary to Brunnermeier and Nagel (2006); and (ii) the consumption-wealth ratio (Lettau and Ludvigson, 2001), the labor income risk (Julliard, 2004) and the labor income-consumption ratio (Santos and Veronesi, 2006) partially explain changes in the risky asset share. |
Tipo: | Documento de trabalho |
URI: | https://hdl.handle.net/1822/7181 |
Acesso: | Acesso aberto |
Aparece nas coleções: | NIPE - Documentos de Trabalho |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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NIPE_WP_28_2007.pdf | Documento principal | 593,8 kB | Adobe PDF | Ver/Abrir |