search query: @author Gordon, M. / total: 12
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| Author: | Gordon, M. |
| Title: | The pricing of risk in common shares |
| Journal: | International Review of Financial Analysis
1993 : VOL. 2:3, p. 147-153 |
| Index terms: | PRICING RISK SHARES |
| Language: | eng |
| Abstract: | The capital asset pricing model predicts positive correlation between the expected return on a share and its systematic risk or beta. A number of papers in which some variant on average realized holding period return is used as a proxy for expected returns finds no significant correlation between the variables. These results cast doubt on the fundamental theorem of finance, that investors price risk. This paper uses a better estimate of expected return, and the data provides strong evidence that investors price risk. |
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