par Weil, Philippe 
Référence European economic review, 38, 3-4, page (913-922)
Publication Publié, 1994-04
Référence European economic review, 38, 3-4, page (913-922)
Publication Publié, 1994-04
Article révisé par les pairs
| Résumé : | Asset pricing models that rely on the presence of non-tradable assets (such as human wealth) to solve the equity premium puzzle have to confront the effect of decreasing absolute risk aversion: rich investors, who according to micro data hold the stock market and whose behavior is the one that matters, at the margin, for the determination of equilibrium asset prices, are less risk averse, ceteris paribus, than the average consumer. This paper highlights a channel through which the effect of decreasing absolute risk aversion can be overcome: the existence of a positive correlation between the rates of return on traded assets and on the human capital of marginal investors. © 1994. |
