Abstract: The Journal of FinanceVolume 38, Issue 4 p. 1201-1216 Article Risk Aversion Revisited ROGER-A. MORIN, ROGER-A. MORINSearch for more papers by this authorA. FERNANDEZ SUAREZ, A. FERNANDEZ SUAREZRespectively Professor of Finance, Georgia State University and Assistant Professor of Finance, University of Montreal. We would like to thank M. J. Brennan, L. J. Ederington, D. Mehta, and Marshall Blume for useful comments and suggestions. Research support of university of Montreal's Hautes Etudes Commerciales and Georgia State University is acknowledged.Search for more papers by this author ROGER-A. MORIN, ROGER-A. MORINSearch for more papers by this authorA. FERNANDEZ SUAREZ, A. FERNANDEZ SUAREZRespectively Professor of Finance, Georgia State University and Assistant Professor of Finance, University of Montreal. We would like to thank M. J. Brennan, L. J. Ederington, D. Mehta, and Marshall Blume for useful comments and suggestions. Research support of university of Montreal's Hautes Etudes Commerciales and Georgia State University is acknowledged.Search for more papers by this author First published: September 1983 https://doi.org/10.1111/j.1540-6261.1983.tb02291.xCitations: 211 Read the full textAboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL ABSTRACT In order to supply additional empirical evidence of the effect of wealth on relative risk aversion, this study investigates households' demand for risky assets, using analysis of covariance techniques applied to the asset holdings of Canadian individual households. The extent and pattern of life-cycle effects are also examined. Results generally point to decreasing relative risk aversion when housing is either excluded from the definition of wealth or treated as a riskless asset. The investor's life-cycle plays a prominent role in portfolio selection behavior, with risk aversion increasing uniformly with age. Tax differentials do not seem to be an important element in investment decisions with respect to risk. When the sample and wealth definitions are censored in order to approximate those of previous empirical studies, their findings on relative risk aversion are generally corroborated. REFERENCES 1 K. J. Arrow. Aspects of the Theory of Risk Bearing. Lecture 2, Hrjo Johnsson Lectures. Helsinki: The Hrjo Johnsson Foundation, 1965. 2 K. J. Arrow. Essays in the Theory of Risk Bearing. Chicago: Markham Publishing Company, 1971. 3 D. Cass and J. E. Stiglitz. "Risk Aversion and Wealth Effects on Portfolios with Many Assets." 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American Economic Review 60 (June 1965), 464– 85. Citing Literature Volume38, Issue4September 1983Pages 1201-1216 ReferencesRelatedInformation
Publication Year: 1983
Publication Date: 1983-09-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 155
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