期刊名称：International Journal of Business and Management
印刷版ISSN：1833-3850
电子版ISSN：1833-8119
出版年度：2017
卷号：12
期号：2
页码：199
DOI：10.5539/ijbm.v12n2p199
出版社：Canadian Center of Science and Education
摘要：The Consumption Capital Asset Pricing Model (CCAPM) is by now a paradigm in financial economics. Applied to the risk-free rate, the CCAPM implies an Euler equation which depends on expected marginal utilities. The paper uses a widespread functional form to specify the utility. However the paper introduces varying preferences into the Euler equation. This enables us to find a relation between the current risk-free rate and the current level of real per capita consumption. Empirically this relation finds that risk aversion is lower for the short run and higher for the long run. The difference between the two is economically small but it is still statistically significant. The paper calculates the differential risk premium required to compensate for the higher long run risk aversion. This premium is also economically small. The paper concludes that the evidence supports that, in the long run, risk is either the same or higher than the short run risk.
其他摘要：The Consumption Capital Asset Pricing Model (CCAPM) is by now a paradigm in financial economics. Applied to the risk-free rate, the CCAPM implies an Euler equation which depends on expected marginal utilities. The paper uses a widespread functional form to specify the utility. However the paper introduces varying preferences into the Euler equation. This enables us to find a relation between the current risk-free rate and the current level of real per capita consumption. Empirically this relation finds that risk aversion is lower for the short run and higher for the long run. The difference between the two is economically small but it is still statistically significant. The paper calculates the differential risk premium required to compensate for the higher long run risk aversion. This premium is also economically small. The paper concludes that the evidence supports that, in the long run, risk is either the same or higher than the short run risk.
