Examining Risk–Return Relationship

M. V. Shivaani (), P. K. Jain () and Surendra S. Yadav ()
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M. V. Shivaani: Indian Institute of Management (IIM), VNIT Campus
P. K. Jain: Indian Institute of Technology Delhi
Surendra S. Yadav: Indian Institute of Technology Delhi

Chapter Chapter 6 in Understanding Corporate Risk, 2019, pp 205-221 from Springer

Abstract: Abstract This chapter aims to explore the relationship between (accounting based) risk indexRisk index developed in the study and accounting returns. In view of the possible endogeneityEndogeneity problem, diff-GMMGeneralised Method of Moments (GMM) regression has been used. The results contradict the widely accepted hypothesis of ‘higher the risk, higher the return’; and lend credence to the fact that by following the normative risk index developed in Chap. 3 , and by keeping lower risk levels, firms may generate higher returns.

Keywords: Risk–return; Risk index; ROA; ROE; Endogeneity; Diff-GMM (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:spr:isbchp:978-981-13-8141-6_6

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DOI: 10.1007/978-981-13-8141-6_6

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