RISK‐PREMIUM CURVES FOR DIFFERENT CLASSES OF LONG‐TERM SECURITIES, 1950–1966: COMMENT

RISK‐PREMIUM CURVES FOR DIFFERENT CLASSES OF LONG‐TERM SECURITIES, 1950–1966: COMMENT in this Journal: Professors Soldofsky and Miller (hereafter s referred to a S & M) present ex post annual holding period return data for a spectrum of long-term securities ranging from government bonds to speculative common stocks for the years 1950 through 1966. They utilize this data to appraise the “risk-return” tradeoff which prevailed over this seventeen-year period and several subperiods. Finally, S & M present “annual yield profiles,” or discussions of the impact of changing patterns of real and financial relationships upon realized security yields during these years. In preparing their ex post yield series, S & M have performed a scholarly task of substantial value to students of finance? However, S & M’s contribution towards eliminating the paucity of empirical evidence regarding the tradeoff between return and risk on long-term securities, as well as their related conclusions, may be questioned on both analytical and theoretical grounds. After having discussed the nature and some limitations of their data (but not the necessarily tentative relationship between ex post returns and ex ante expectations), S & M present the geometric mean annual return and associated standard deviation of annual returns3 for each of their fifteen risk classes of long-term http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Finance Wiley

RISK‐PREMIUM CURVES FOR DIFFERENT CLASSES OF LONG‐TERM SECURITIES, 1950–1966: COMMENT

The Journal of Finance, Volume 27 (4) – Sep 1, 1972

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Publisher
Wiley
Copyright
1972 The American Finance Association
ISSN
0022-1082
eISSN
1540-6261
DOI
10.1111/j.1540-6261.1972.tb01327.x
Publisher site
See Article on Publisher Site

Abstract

in this Journal: Professors Soldofsky and Miller (hereafter s referred to a S & M) present ex post annual holding period return data for a spectrum of long-term securities ranging from government bonds to speculative common stocks for the years 1950 through 1966. They utilize this data to appraise the “risk-return” tradeoff which prevailed over this seventeen-year period and several subperiods. Finally, S & M present “annual yield profiles,” or discussions of the impact of changing patterns of real and financial relationships upon realized security yields during these years. In preparing their ex post yield series, S & M have performed a scholarly task of substantial value to students of finance? However, S & M’s contribution towards eliminating the paucity of empirical evidence regarding the tradeoff between return and risk on long-term securities, as well as their related conclusions, may be questioned on both analytical and theoretical grounds. After having discussed the nature and some limitations of their data (but not the necessarily tentative relationship between ex post returns and ex ante expectations), S & M present the geometric mean annual return and associated standard deviation of annual returns3 for each of their fifteen risk classes of long-term

Journal

The Journal of FinanceWiley

Published: Sep 1, 1972

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