Asset Details
Do you wish to reserve the book?
Understanding the Risk-Return Relation: The Aggregate Wealth Proxy Actually Matters
Hey, we have placed the reservation for you!
By the way, why not check out events that you can attend while you pick your title.
Oops! Something went wrong.
Looks like we were not able to place the reservation. Kindly try again later.
Are you sure you want to remove the book from the shelf?
Understanding the Risk-Return Relation: The Aggregate Wealth Proxy Actually Matters
Do you wish to request the book?
Understanding the Risk-Return Relation: The Aggregate Wealth Proxy Actually Matters
Please be aware that the book you have requested cannot be checked out. If you would like to checkout this book, you can reserve another copy
We have requested the book for you!
Your request is successful and it will be processed during the Library working hours. Please check the status of your request in My Requests.
Oops! Something went wrong.
Looks like we were not able to place your request. Kindly try again later.
Journal Article
Understanding the Risk-Return Relation: The Aggregate Wealth Proxy Actually Matters
2019
Overview
The ICAPM implies that the market's conditional expected return is proportional to its conditional variance and that the reward-to-risk ratio equals the representative investor's coefficient of relative risk aversion. Prior studies examine this relation using the stock market to proxy for aggregate wealth and find mixed results. We show, however, that stock-based tests suffer from low power and lead to biased estimates of the risk-return tradeoff when stocks are an imperfect market proxy. Tests designed to mitigate this bias by incorporating a more comprehensive measure of aggregate wealth produce large, positive estimates of the risk-aversion coefficient around seven to nine. Supplementary materials for this article are available online.
Publisher
Taylor & Francis,American Statistical Association (ASA),Taylor & Francis Ltd
Subject
