IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

Canadian Excess Returns and State-Dependent Risk Aversion

Listed author(s):
  • St-Amour, P.

A discrete-time asset pricing model is developed for the situation where the representative agent has state-dependent risk aversion. The limiting continuous-time case is obtained and contrasted with Breeden's (1979) consumption-based capital asset pricing model. The essential feature is the presence of an additional `concavity risk', which supplements the usual consumption risk. The implication is that consumption covariance is no longer forced to account for the entire observed premia, which can therefore be replicated at lower levels of risk aversion. Using Canadian wealth data compiled by Macklem (1994), as well as a leading indicator proxy for state variables, the model is estimated using TSE-300 data, based on the exact likelihood parameterisation for continuous-time models. Results reveal a counter-cyclical pattern to risk aversion, and a mean value well within what is considered as reasonable range.

(This abstract was borrowed from another version of this item.)

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Paper provided by Laval - Recherche en Politique Economique in its series Papers with number 9519.

in new window

Length: 22 pages
Date of creation: 1995
Handle: RePEc:fth:lavape:9519
Contact details of provider: Postal:

Phone: (418) 656-5122
Fax: (418) 656-2707
Web page:

More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:fth:lavape:9519. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.