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| Author: | Henkel, J. |
| Title: | The risk-return fallacy |
| Journal: | Schmalenbach Business Review
2000 : OCT, VOL. 52:4, p. 363-373 |
| Index terms: | RETURN ON INVESTMENT REVIEW ECONOMICS |
| Language: | eng |
| Abstract: | The author assumes that in the world of business, higher risks are only taken when rewarded with higher expected returns. This supposition has been confirmed empirically using capital market data. However, accounting measures yield puzzling results. Using data from German firms, this study finds a significantly negative skewness. This skewness alone, even if firms were otherwise identical, brings about a negative relationship between mean and variance that is comparable in size to that found in the data. |
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