AN ASSESSMENT OF THE RISK AND RETURN OF FRENCH COMMON STOCKS

AN ASSESSMENT OF THE RISK AND RETURN OF FRENCH COMMON STOCKS In this paper the relationship is examined between the average return and the risk of a sample of 144 French common stocks which traded continuously over the decade 1969–1979. Although it was found that a negative relationship existed between average return and systematic risk, sufficient evidence could not be gathered to reject the hypothesis that the pricing of French common stocks conforms to the Capital Asset Pricing Model. The nature and implications of the observed negative risk‐return trade‐off are discussed. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Business Finance & Accounting Wiley

AN ASSESSMENT OF THE RISK AND RETURN OF FRENCH COMMON STOCKS

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Publisher
Wiley
Copyright
Copyright © 1983 Wiley Subscription Services, Inc., A Wiley Company
ISSN
0306-686X
eISSN
1468-5957
DOI
10.1111/j.1468-5957.1983.tb00435.x
Publisher site
See Article on Publisher Site

Abstract

In this paper the relationship is examined between the average return and the risk of a sample of 144 French common stocks which traded continuously over the decade 1969–1979. Although it was found that a negative relationship existed between average return and systematic risk, sufficient evidence could not be gathered to reject the hypothesis that the pricing of French common stocks conforms to the Capital Asset Pricing Model. The nature and implications of the observed negative risk‐return trade‐off are discussed.

Journal

Journal of Business Finance & AccountingWiley

Published: Sep 1, 1983

References

  • On the Assessment of Risk
    Blume, Blume
  • Risk, Return and Equilibrium
    Fama, Fama
  • A Note on the Market Model and the Two‐Parameter Model
    Fama, Fama
  • Ambiguity when Performance is Measured by the Securities Market Line
    Roll, Roll
  • Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk
    Sharpe, Sharpe

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