Estimating risk‐return relationships: An analysis of measures
研究发现风险收益悖论部分源于会计度量方法的选择：使用期末权益或资产计算的收益会得到负的风险收益关系，而期初度量则产生更正向的关系，这对理解企业风险收益特征有重要启示。
Abstract We show that the risk‐return paradox can be partly explained by the choice of accounting risk and return measures. Returns computed with equity or assets from End‐of‐Period (EOP) annual reports produce negative risk‐return associations, while measures calculated using Beginning‐of‐Period (BOP) equity or assets yield more positive relationships. The likelihood of reporting negative relationships using EOP methods is accentuated by dividing samples at median returns. Below‐median firms suffer losses and may appear to have lower and more variable returns than above‐median firms, simply because of EOP methods. Our results show that mean and variance measures are unstable and risk‐return relationships vary inversely the number of firms reporting mean losses.