IDEAS home Printed from https://ideas.repec.org/a/bla/finrev/v28y1993i1p117-37.html
   My bibliography  Save this article

Risk and Return: A Revisit Using Expected Returns

Author

Listed:
  • Marston, Felicia
  • Harris, Robert S

Abstract

This paper uses direct estimates of expected returns to examine the link between standard measures of financial risk and investor return requirements. The results show that systematic risk commands a significant positive risk premium, much larger than found using historical returns as proxies for expectations. Furthermore, there are nonlinearities in the relationship between risk and return. Finally, we show that expected returns and risk premiums in the equity markets change over time and that these changes are related to changes in interest rates on U.S. government obligations. Copyright 1993 by MIT Press.

Suggested Citation

  • Marston, Felicia & Harris, Robert S, 1993. "Risk and Return: A Revisit Using Expected Returns," The Financial Review, Eastern Finance Association, vol. 28(1), pages 117-137, February.
    • Handle: RePEc:bla:finrev:v:28:y:1993:i:1:p:117-37
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Boyle, Glenn & Evans, Lewis & Guthrie, Graeme, 2006. "Estimating the WACC in a Regulatory Setting: An Assessment of Dr Martin Lally's paper 'The Weighted Average Cost of Capital for Electricity Lines Businesses' of 8 September 2005," Working Paper Series 18939, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
    2. Severn, Alan K., 1998. "Closed-end funds and sentiment risk," Review of Financial Economics, Elsevier, vol. 7(1), pages 103-119.
    3. Norio Kitagawa & Masatoshi Gotoh, 2011. "Implied Cost of Capital over the Last 20 Years," The Japanese Accounting Review, Research Institute for Economics & Business Administration, Kobe University, vol. 1, pages 71-104, December.
    4. Norio Kitagawa & Hyonok Kim & Masatoshi Goto, 2011. "The effect of non-financial risk information on the evaluation of implied cost of capitals," Discussion Papers 2011-07, Kobe University, Graduate School of Business Administration, revised Feb 2011.
    5. Alan K. Severn, 1998. "Closed‐end funds and sentiment risk," Review of Financial Economics, John Wiley & Sons, vol. 7(1), pages 103-119.
    6. repec:vuw:vuwscr:18939 is not listed on IDEAS
    7. Boyle, Glenn & Evans, Lewis & Guthrie, Graeme, 2006. "Estimating the WACC in a Regulatory Setting: An Assessment of Dr Martin Lally's paper 'The Weighted Average Cost of Capital for Electricity Lines Businesses' of 8 September 2005," Working Paper Series 3844, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:finrev:v:28:y:1993:i:1:p:117-37. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/efaaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.