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Investor perceptions and volatility within a risk-return framework

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  • Dave Berger

Abstract

Conditional asset pricing models within the risk-return literature describe a relation between expected risk and return for period t + 1, with expectations formed during period t. Existing risk estimates in the literature are formed using backward looking measures during period t, which are projected forward for period t + 1. Evidence suggests that ex post observations do not always correspond with conditional ex ante expectations. Using forward-looking survey data, I compare measures of expected risk, with common estimates of risk in the literature. Supporting empirical research, I find a strong relation between forward-looking investor risk perceptions and conditional risk estimates.

Suggested Citation

  • Dave Berger, 2010. "Investor perceptions and volatility within a risk-return framework," Applied Financial Economics, Taylor & Francis Journals, vol. 20(13), pages 1003-1010.
    • Handle: RePEc:taf:apfiec:v:20:y:2010:i:13:p:1003-1010
    DOI: 10.1080/09603101003742515
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