RELATIVE RISK AVERSION IS CONSTANT: EVIDENCE FROM PANEL DATA

• 成果类型: Article
• 署名作者: Chiappori, Pierre-Andre; Paiella, Monica
• 署名单位: Columbia University; University of Naples Federico II
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1111/j.1542-4774.2011.01046.x
• 发表日期: 2011
• 页码: 1021-1052
• 关键词: equity premium; intertemporal substitution; temporal behavior; portfolio choice; asset returns; consumption; INVESTMENT; WEALTH

摘要

Most classical tests of constant relative risk aversion (CRRA) based on individual portfolio composition use cross-sectional data. Such tests must assume that the distributions of wealth and preferences are independent. We use panel data to analyze how individuals portfolio allocation between risky and riskless assets varies in response to changes in total financial wealth. We find the elasticity of the risky asset share to wealth to be small and statistically insignificant, supporting the CRRA assumption; this finding is robust when the sample is restricted to households experiencing large income variations. In addition, we find a small but significant negative correlation between wealth and risk aversion. Various extensions are discussed.