On the Evidence Supporting the Existence of Risk Premiums in the Capital Market
Robert A. Haugen
Haugen Custom Financial Systems
A. James Heins
affiliation not provided to SSRN
December 1, 1972
This paper was the basis of the paper entitled "Risk and the Rate of Return on Financial Assets: Some Old Wine in New Bottles," which was published in the Journal of Financial and Quantitative Analysis in December 1975. Differences between the two papers result from the refereeing process. This original working paper version is clearer and more complete. These papers were the first to document the lack of positive relationship between risk and return in the empirical cross-section of stock market returns.
Number of Pages in PDF File: 33
Keywords: Minimum Variance, Low Volatility, Inefficient Market, Risk, Efficient Market
Date posted: March 14, 2011
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