eprintid: 41774 rev_number: 9 eprint_status: archive userid: 1482 importid: 105 dir: disk0/00/04/17/74 datestamp: 2020-09-09 13:55:43 lastmod: 2021-09-09 15:27:13 status_changed: 2021-09-09 15:27:13 type: article metadata_visibility: show creators_name: Andries, Marianne creators_idrefppn: 24158650X creators_affiliation: Toulouse School of Economics creators_halaffid: 1002422 title: L’aversion au risque, composante essentielle du prix du risque, est-elle stable dans le temps ? ispublished: pub subjects: subjects_ECO abstract: Risk aversion is the well documented psychological bias that makes us refuse to participate in zero-sum lotteries: to accept a 50 % chance loss of one dollar, we need to be offered a 50 % chance gain of more than 1 dollar, e.g. two dollars instead of one – a compensation for taking risk. Through the same mechanism, investors must be rewarded for accepting to take on financial risk: they are compensated by receiving greater average returns than risk-free assets – the equity risk premium. We have evidence that this compensation for risk varies over time: investors can expect to receive greater returns when the indice levels are low relative to distributed dividends than when they are high. Does it come from time variations in risk aversion or are there other forces at play? Indirect evidence suggests not only the compensation for risk but also the quantity of risk in financial markets may vary over time. Variations in risk aversion would thus not be the sole channel for changes in equity risk premia over time, though it may still play an important role. Disentangling the two sources of variations in the price of risk – risk aversion and quantity of risk – and understanding why and how they may vary over time is at the core of the recent research in asset pricing theory. date: 2019-01 date_type: published publisher: Association d'économie financière official_url: http://tse-fr.eu/pub/123858 faculty: tse divisions: tse language: fr has_fulltext: TRUE subjectsJEL: JEL_G11 subjectsJEL: JEL_G12 view_date_year: 2019 full_text_status: public publication: Revue d'économie financière number: n° 133 pagerange: 45-59 refereed: TRUE issn: 1777-5744 oai_identifier: oai:tse-fr.eu:123858 harvester_local_overwrite: faculty harvester_local_overwrite: pending harvester_local_overwrite: publish_to_hal harvester_local_overwrite: issn harvester_local_overwrite: publisher harvester_local_overwrite: number harvester_local_overwrite: creators_idrefppn harvester_local_overwrite: creators_halaffid harvester_local_overwrite: creators_affiliation oai_lastmod: 2021-07-30T09:35:00Z oai_set: tse site: ut1 publish_to_hal: TRUE citation: Andries, Marianne (2019) L’aversion au risque, composante essentielle du prix du risque, est-elle stable dans le temps ? Revue d'économie financière (n° 133). pp. 45-59. document_url: https://publications.ut-capitole.fr/id/eprint/41774/1/ecofi_133_0045.pdf