Variations in Risk Aversion

The book "Variations in Risk Aversion" by Moshe Omer offers a comprehensive analysis of investors' risk attitudes in the Israeli stock market. By employing modern techniques to evaluate options market prices and realized returns, it conducts an empirical measurement of risk attitudes. The study is based on a ten-year dataset of daily options and stock market prices, from which non-parametric volatility smiles, densities, and risk attitude functions are derived. A key finding is the construction of a time series of absolute risk attitudes, which is examined over time. The results indicate a decreasing and generally positive risk attitude that exhibits significant temporal fluctuations and is negatively correlated with implied volatility.