Earticle

초록

영어

Aït-Sahalia, Parker, and Yogo (2004) suggest using luxury goods retail sales data as an alternative measure of consumption to obtain more reasonable estimates for the coefficient of relative risk aversion that better match the observed equity premium. We apply their novel idea of using data that reflect discretionary consumption by the wealthy to the Korean context by using sales revenue of three largest sellers of high-end whisky and two major airlines as proxies for discretionary consumption that are more likely to respond to movements in the stock market. When theses proxies for discretionary consumption are used in place of standard consumption, the estimates for relative risk aversion are an order of magnitude smaller and economically plausible, similar to the findings reported by Aït-Sahalia et al. (2004) for the United States.

목차

Abstract
 Ⅰ. Introduction
 Ⅱ. Methodology
 Ⅲ. Data
 Ⅳ. Empirical Results
  1. Descriptive Statistics for the Equity Premium
  2. Implied Risk Aversion from Basic and Luxury Goods Consumption
 V. Conclusions
 References

키워드

저자

• Jaehoon Hahn [ Associate Professor, School of Business, Yonsei University ]
• Yong Joo Kang [ Doctoral Student, School of Business, Yonsei University ]
• Yuna Sohn [ Doctoral Student, School of Business, Yonsei University ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  재무연구 [Asian Review of Financial Research]

• 간기

  계간

• pISSN

  1229-0351

• eISSN

  2713-6531

• 수록기간

  1988~2026

• 등재여부

  KCI 등재,SCOPUS

• 십진분류

  KDC 325 DDC 330