state-dependent risk aversion. We obtain a valuation equation in which the vector of excess returns on equity includes both … consumption risk as well as the risk associated with variations in preferences. We develop a simple model that can be estimated … without specifying the functional form linking risk aversion with state variables. Our estimates are based on Markov chain …

We estimate a dynamic programming model of schooling decisions in which the degree of risk aversion can be inferred … homogeneous with respect to the degree of risk aversion. We allow endogenous schooling attainments to affect the level of risk … experienced in labor market earnings through wage dispersion and employment rate dispersion. We find a low degree of relative risk …

-short-sales constraints on the underlying asset manifest themselves in the form of an implicit dividend yield in the risk neutralized process …

captures two aspects of preferences: as the concavity of the function increases so does his aversion to risk as well as his … ensuing risk aversion measure (1-α) should not be considered as a simple Arrow-Pratt index of relative risk aversion that … recursive utility model introduces risk aversion through the definition of a certainty equivalent of future utility that mixes …

This paper estimates the rate of relative risk aversion using Euler equations based on household-level consumption data … from zero for values of the rate of relative risk aversion between 1 and 3. When allowing for the presence of measurement … error, conservative estimates of the rate of risk aversion for asset market participants indicate a value between 2 and 8 …

This paper investigates the importance of market incompleteness by comparing the rates of risk aversion estimated from … preferable because state-level data are less susceptible to measurement errors. We find that the rate of risk aversion under the … of consumption growth in the pricing kernel lowers the estimate of risk aversion. These findings suggest that market …

(or precautionary motives) dominates or not his aversion to risk. It is finally found that the insertion of environmental …

the same time high risk premium and low risk-free rate. Mehra and Prescott (1985) have found that it requires implausibly … high levels of risk aversion on the part of the representative agent in order to reconcile these two puzzles. On the other … hand, if the extremely risk averse agent hypothesis is taken to be true, then the classical consumption theory cannot …

The influence of relative wealth on fairness considerations is analyzed in an ultimatum game experiment in which … participants receive large and widely unequal initial endowments. Subjects initially demonstrate a concern for fairness. With time … however, behavior becomes at odds with both subgame perfection and fairness. Evidence of learning is detected for both …