Relative Risk Aversion: A Meta‐Analysis
收集92项研究中1021个相对风险厌恶估计值，发现校准值系统性地高于估计值，且存在发表偏倚；校正后经济学平均风险厌恶为1，金融领域为2-7。
Abstract 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.