E-resources
Peer reviewed
-
Henkel, Joachim
Strategic management journal, 03/2009, Volume: 30, Issue: 3Journal Article
The concept of risk is central to strategy research and practice. Yet, the expected positive association between risk and return, familiar from financial markets, is elusive. Measuring risk as the variance of a series of accounting-based returns, Bowman obtained the puzzling result of a negative association between risk and mean return. This finding, known as the Bowman paradox, has spawned a remarkable number of publications, and various explanations have been suggested. The present study contributes to this literature by showing that skewness of individual firm' return distributions has a considerable spurious effect on the empirically estimated mean-variance relationship. I devise a method to disentangle true and spurious effects, illustrate it using simulations, and apply it to empirical data. It turns out that the size of the spurious effect is such that, on average, it explains the larger part of the observed negative relationship. My results might thus help to reconcile mean-variance approaches to risk-return analysis with other, ex-ante, approaches. In concluding, I show that the analysis of skewness is linked to all three streams of literature devoted to explaining the Bowman paradox.
Author
Shelf entry
Permalink
- URL:
Impact factor
Access to the JCR database is permitted only to users from Slovenia. Your current IP address is not on the list of IP addresses with access permission, and authentication with the relevant AAI accout is required.
Year | Impact factor | Edition | Category | Classification | ||||
---|---|---|---|---|---|---|---|---|
JCR | SNIP | JCR | SNIP | JCR | SNIP | JCR | SNIP |
Select the library membership card:
If the library membership card is not in the list,
add a new one.
DRS, in which the journal is indexed
Database name | Field | Year |
---|
Links to authors' personal bibliographies | Links to information on researchers in the SICRIS system |
---|
Source: Personal bibliographies
and: SICRIS
The material is available in full text. If you wish to order the material anyway, click the Continue button.