Bali, Turan G.; Gunaydin, A. Doruk; Jansson, Thomas; … - 2021
that low-risk stocks outperform high-risk stocks. Using a large-scale household dataset, we provide an explanation for this …Contrary to the theoretical principle that higher risk is compensated with higher expected return, the literature shows … puzzling result that the anomalous negative risk-return relation is only confined to those stocks held by rich households …
