haku: @indexterm Statistical methods / yhteensä: 745
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| Tekijä: | Henkel, J. |
| Otsikko: | The risk-return paradox for strategic management: Disentangling true and spurious effects |
| Lehti: | Strategic Management Journal
2009 : MAR, VOL. 30:3, p. 287-303 |
| Asiasana: | strategic management industries risk analysis rate of return statistical methods |
| Kieli: | eng |
| Tiivistelmä: | For strategy research and practice, the concept of risk is central. However, the expected positive association btw. risk and return is not too clear. This study contributes to the literature referring to Bowman paradox by showing that skewness of individual firm's return distributions has a considerable spurious effect on the empirically estimated mean-variance relationship. A method to disentangle true and spurious effects is presented, illustrated by using simulations, and applied to empirical data. The size of the spurious effect turns out to be such that, on average, it explains the larger part of the observed negative relationship. In conclusion, it is shown that the analysis of skewness is linked to all three streams of literature devoted to explaining the Bowman paradox. |
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