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Investor attention and the risk-return trade-off
Finance Research Letters, 2022Abstract Previous empirical studies find a negative and significant relation between risk measures and expected future stock returns. Using four risk measures, we document that the negative risk-return relation is more pronounced among firms that receive high levels of attention from investors, while a standard positive risk-return relation holds ...
Eun Jung Lee, Yu Kyung Lee, Ryumi Kim
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Multinationals' diversification and the risk‐return trade‐off
Strategic Management Journal, 1993Abstract This paper advances a theoretical rationale to explain Bowman's paradox (1980) that firms with high returns can have low risk. Here we draw on the rich body of international management research and argue that global market diversification, which provides firms with three distinct options and opportunities over domestic firms,
W. Chan Kim +2 more
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Reference-dependent preferences and the risk–return trade-off
Journal of Financial Economics, 2017Abstract This paper studies the cross-sectional risk–return trade-off in the stock market. A fundamental principle in finance is the positive relation between risk and expected return. However, recent empirical evidence suggests the opposite. Using several intuitive risk measures, we show that the negative risk–return relation is much more pronounced
Huijun Wang, Jinghua Yan, Jianfeng Yu
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Long-run risk-return trade-offs
Journal of Econometrics, 2008zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bandi, Federico M., Perron, Benoit
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International Arbitrage Strategies and Risk-Return trade-offs
Academy of Management Proceedings, 2012Whether and how international diversification and cross-border arbitrage affects firm performance remains one of the major unresolved research questions in the strategy and international business literatures. We propose that knowing how much a firm has internationally diversified tells us very little about performance implications, if we do not know ...
Kleindienst, Ingo Ralf +2 more
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Centralization versus Decentralization as a Risk‐Return Trade‐Off
The Journal of Law and Economics, 2010This paper characterizes the choice between centralization and decentralization as a risk‐return trade‐off and examines it in a model that integrates ideas from committee decision‐making and portfolio theories. Centralization, by pooling expertise, rarely yields erroneous decisions; however, when it fails, the consequences are global. In contrast, in a
Arcuri, Alessandra +1 more
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There Is a Risk–Return Trade-Off After All
CFA Digest, 2005Eric Ghysels +2 more
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Risk-Return Trade-Off on the Currency Portfolios
SSRN Electronic Journal, 2018Unconditional asset pricing models have generally found it challenging to identify evidence of risk aversion. This paper addresses this challenge by examining whether currency portfolios display an intertemporal risk-return relationship. We consider time-varying relations because investors' risk-aversion may change over time, based upon changing ...
Joseph Byrne, Ryuta Sakemoto
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Finding the Risk-Return Trade-Off With Google
SSRN Electronic Journal, 2020Investor attention is central to explaining the mean-variance puzzle. Using Google Search Volumes as a proxy to attention, I document a positive trade-off during low attention periods that is significantly undermined when attention is high. The negative association between on-line searches and the trade-off is also present in the time-varying analysis.
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