Franke, Günter; Lüders, Erik - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2006
-independent heterogeneous risk aversion of investors is likely to generate declining aggregate relative risk aversion. This leads to … predictability of asset returns and high and persistent volatility. Stock market crashes may be observed if relative risk aversion … differs strongly across investors. Then aggregate relative risk aversion may sharply increase given a small impairment in …