Risk Aversion and Determinants of Stock Market Behavior
构建了一个简单的股票定价模型，研究基本面变量（如利润率、利率、通胀和收益波动）对股市行为的解释力，并估计出投资者相对风险厌恶指数在3到4之间。
A simple model of equity pricing is developed to address two related questions.First, to what extent can unanticipated changes in such "fundamental" variables as profitability, real interest rates, inflation, and the variance of returns account for the observed behavior of the stock market?Second, how risk averse are investors in the aggregate?We find that the pretax profit rate and the variance of returns are both significant explanators of the market, and interest rates somewhat less so.Estimates of the index of relative risk aversion are obtained that put that parameter in the range of 3 to 4.