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Risk Aversion and Stock Prices

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Author Info
Ray C. Fair () (Cowles Foundationn, Yale University)

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Abstract

This paper uses data on companies that have been in the S&P 500 index since 1957 to examine whether risk aversion has decreased since 1995. The evidence suggests that it has not. There is no evidence that more risky companies have had larger increases in their price-earnings ratios since 1995 than less risky companies.

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File URL: http://cowles.econ.yale.edu/P/cd/d13b/d1382.pdf
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Publisher Info
Paper provided by Cowles Foundation, Yale University in its series Cowles Foundation Discussion Papers with number 1382.

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Length: 22 pages
Date of creation: Sep 2002
Date of revision: Feb 2003
Handle: RePEc:cwl:cwldpp:1382

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Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA
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Web page: http://cowles.econ.yale.edu/
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

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Related research
Keywords: Risk aversion; Stock prices;

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Find related papers by JEL classification:
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

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