Carroll, Carolyn; Thistle, Paul D.; Wei, K. C. John - In: Journal of Financial and Quantitative Analysis 27 (1992) 03, pp. 419-435
In a recent study, Tinic and West (1986) empirically reexamine the risk-return relationship posited by the traditional mean-variance CAPM. They find a positive nonlinear relationship between risk and return, except during January when the market rewards bearing nonsystematic risk. This study...
