Jacobs, Kris; Pallage, Stephane; Robe, Michel A. - Society for Computational Economics - SCE - 2005
This paper investigates the importance of market incompleteness by comparing the rates of risk aversion estimated from … preferable because state-level data are less susceptible to measurement errors. We find that the rate of risk aversion under the … of consumption growth in the pricing kernel lowers the estimate of risk aversion. These findings suggest that market …