@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} }