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Strategies & Market Trends : Free Float Trading/ Portfolio Development/ Index Stategies

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From: dvdw©	8/8/2009 5:37:34 PM
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Frank on AHHAS thread contributed this paper; pay attention to pages 30 through conclusion, not many financial advisors show any awareness of these data, especially as it relates to volume.. This may be of interest to somebody: Risk and Return in General: Theory and Evidence Eric G. Falkenstein affiliation not provided to SSRN June 15, 2009 Abstract: Empirically, standard, intuitive measures of risk like volatility and beta do not generate a positive correlation with average returns in most asset classes. It is possible that risk, however defined, is not positively related to return as an equilibrium in asset markets. This paper presents a survey of data across 20 different asset classes, and presents a model highlighting the assumptions consistent with no risk premium. The key is that when agents are concerned about relative wealth, risk taking is then deviating from the consensus or market portfolio. In this environment, all risk becomes like idiosyncratic risk in the standard model, avoidable so unpriced. papers.ssrn.com

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