IDEAS home Printed from https://ideas.repec.org/a/cup/jfinqa/v5y1970i02p179-185_01.html
   My bibliography  Save this article

An Empirical Study of the Risk-Return Hypothesis Using Common Stock Portfolios of Life Insurance Companies

Author

Listed:
  • Gentry, James
  • Pike, John

Abstract

The relationship between return on assets and their riskiness is one of the liveliest topics in financial literature. In his 1952 landmark article, Markowitz developed a mathematical model that captured this key financial concept. defined risk as the variance of the rate of return of a portfolio. Later, Sharpe hypothesized a positive linear relationship between expected rate of return on an asset and the risk premium associated with that asset. Subsequently, Sharpe tested this hypothesis empirically and found support for his theory. Although portfolio theory specifies the two parameters of this model as ex ante return and risk, Sharpe used ex post data for testing the risk-return relationship. designated the ex post mean rate of return obtained on an an asset as a proxy for expected return and the standard deviation of ex post annual rates of return as a surrogate for risk.

Suggested Citation

  • Gentry, James & Pike, John, 1970. "An Empirical Study of the Risk-Return Hypothesis Using Common Stock Portfolios of Life Insurance Companies," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 5(2), pages 179-185, June.
    • Handle: RePEc:cup:jfinqa:v:5:y:1970:i:02:p:179-185_01
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S002210900001588X/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Frenkel, D. & Van Dort, M.J. & Zijlstra, R.J.J., 1985. "Light scattering study of the statistical properties of nematic director fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 131(1), pages 278-288.
    2. Timmermans, J. & Zijlstra, R.J.J., 1977. "Photon time-interval statistics of laser light scattered by brownian particles," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 88(3), pages 600-606.
    3. Van Rijswijk, F.C. & Smith, U.L., 1975. "Fluctuations in doubly scattered laser light," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 83(1), pages 121-142.
    4. Susan Kerubo Onsongo & Stephen M. A. Muathe & Lucy Wamugo Mwangi, 2020. "Financial Risk and Financial Performance: Evidence and Insights from Commercial and Services Listed Companies in Nairobi Securities Exchange, Kenya," IJFS, MDPI, vol. 8(3), pages 1-15, August.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:jfinqa:v:5:y:1970:i:02:p:179-185_01. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/jfq .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.