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"Risk Aversion and Stock Prices,"
revised February 2003.
pdf file (79KB).
This paper uses data on companies that have been in the S\&P 500 index
since 1957 to examine whether risk aversion has decreased since 1995.
The evidence suggests that it has not. There is no evidence that more
risky companies have had larger increases in their price-earnings
ratios since 1995 than less risky companies.