A cornerstone in finance theory continues to be the positive relationship between risk and
return in spite of Fama and French (The Journal of Finance 47 (2)(1992) 427–65) and …

We examine a sample of 294 mutual funds that are advertised in Barron's or Money
magazine. The preadvertisement performance of these funds is significantly higher than that …

A significant topic within the behavioral finance literature is the notion of perceived risk
pertaining to novice investors (ie individuals, finance students) and investment professionals …

This paper examines the conditional relationship between beta and return in international
stock returns between January 1970 and July 1998 using the approach of Pettengill et …

In this paper we show that reasonable proxies for the FF factors can be readily constructed
from 'off the shelf'style index data. We employ a GMM testing procedure in which the main …

In our study, we argue that product quality may enhance competitive advantage, leading to
increased returns but a reduction in variance in returns. More specifically, based on our …

This paper examines the conditional relationship between beta and return in UK stock
returns. There is no evidence of a significant risk premium on beta when the unconditional …

The current study contributes to the empirical literature aimed at testing the Fama and
French three-factor model, using daily Australian data. In general, the evidence found is …

Recent evidence from Fama and French (1992, 1996) and others shows that betas and
returns are not related empirically. They interpret this as evidence against the validity of the …

This paper investigates the relationship between return and beta using the cross-sectional
regression method. Regression of return on beta without differentiating positive and …