ASSET PRICING AND RISK-AVERSION IN THE SPANISH STOCK-MARKET

This paper estimates the relative risk aversion coefficient for the Spanish Stock Market between 1965 and 1984. The results tend to indicate that the Spanish investors require a premium to demand risky assets higher than the one required under a logarithmic utility function. A multivariate framework is also used to study alternative models of asset pricing given different relative risk aversion coefficients. © 1990.