@article {1969146,
	title = {Time variability in market risk aversion},
	journal = {Journal of Financial Research},
	volume = {32},
	year = {2009},
	month = {2009},
	pages = {285-307},
	abstract = {We adopt realized covariances to estimate the coefficient of risk aversion across portfolios and through time. Our approach yields second moments that are free from measurement error and not influenced by a specified model for expected returns. Supporting the permanent income hypothesis, we find risk aversion responds to consumption smoothing behavior. As income increases, or as the ratio of consumption-to-income falls, relative risk aversion decreases. We also document variation in risk aversion across portfolios: risk aversion is highest for small and value portfolios.},
	keywords = {Finance},
	url = {http://www.blackwellpublishing.com/journal.asp?ref=0270-2592},
	author = {Berger,Dave and Turtle,Harry J}
}
