On the Evidence Supporting the Existence of Risk Premiums in the Capital Market

33 Pages Posted: 14 Mar 2011  

Robert A. Haugen

Haugen Custom Financial Systems

A. James Heins

affiliation not provided to SSRN

Date Written: December 1, 1972

Abstract

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.

Keywords: Minimum Variance, Low Volatility, Inefficient Market, Risk, Efficient Market

Suggested Citation

Haugen , Robert A. and Heins, A. James, On the Evidence Supporting the Existence of Risk Premiums in the Capital Market (December 1, 1972). Available at SSRN: https://ssrn.com/abstract=1783797 or http://dx.doi.org/10.2139/ssrn.1783797

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A. James Heins

affiliation not provided to SSRN

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