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The Relationship between Risk and Return: Evidence for Life Insurance Stocks

Scott E. Harrington
The Journal of Risk and Insurance
Vol. 50, No. 4 (Dec., 1983), pp. 587-610
DOI: 10.2307/252703
Stable URL: http://www.jstor.org/stable/252703
Page Count: 24
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The Relationship between Risk and Return: Evidence for Life Insurance Stocks
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Abstract

This paper examines the relationship between realized mean returns and alternative measures of risk for samples of life insurance stocks during the 1961-76 period within the framework of the Capital Asset Pricing Model (CAPM). The results provide some evidence of a significant relationship between mean returns and systematic risk, but they also provide evidence of a significant relationship between mean returns and measures of nonsystematic risk, in contradiction to the principal implication of the CAPM.

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