PT - JOURNAL ARTICLE AU - Juan Ignacio Garat TI - The Risk of Premiums AID - 10.3905/jpm.2016.42.4.108 DP - 2016 May 31 TA - The Journal of Portfolio Management PG - 108--115 VI - 42 IP - 4 4099 - https://pm-research.com/content/42/4/108.short 4100 - https://pm-research.com/content/42/4/108.full AB - Expected risk premiums are not guaranteed. In this article, the author tests the existence of excess returns in stocks over bonds and in bonds over bills in 20 different countries using more than a century of data. Using an innovative technique, the author demonstrates that premiums are significant in less than half of cases. Excess returns may therefore be a likely consequence of asset characteristics, but not a certain reward for the willingness to bear more risk.TOPICS: Security analysis and valuation, fixed income and structured finance, performance measurement