Relative Risk Aversion: A Meta-Analysis
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F25%3A10505806" target="_blank" >RIV/00216208:11230/25:10505806 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=qXeoEB4PFh" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=qXeoEB4PFh</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1111/joes.12689" target="_blank" >10.1111/joes.12689</a>
Alternative languages
Result language
angličtina
Original language name
Relative Risk Aversion: A Meta-Analysis
Original language description
Estimates of relative risk aversion vary widely, but no study has attempted to quantitatively trace the sources of the variation. We collect 1021 estimates from 92 studies that use the consumption Euler equation to measure relative risk aversion and that disentangle it from intertemporal substitution. We show that calibrations of risk aversion are systematically larger than estimates thereof. Moreover, reported estimates are systematically larger than the underlying risk aversion because of publication bias. After correction for the bias, the literature suggests a mean risk aversion of 1 in economics and 2-7 in finance contexts. The reported estimates are driven by the characteristics of data (frequency, dimension, country, stockholding) and utility (functional form, treatment of durables). To obtain these results, we use recently developed techniques to correct for publication bias and Bayesian model averaging techniques to account for model uncertainty.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2025
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Journal of Economic Surveys
ISSN
0950-0804
e-ISSN
1467-6419
Volume of the periodical
39
Issue of the periodical within the volume
5
Country of publishing house
GB - UNITED KINGDOM
Number of pages
19
Pages from-to
2315-2333
UT code for WoS article
001425979700001
EID of the result in the Scopus database
2-s2.0-85219552505