Miller is out with an excellent post on this topic. He links to some research and graphs which illustrate his point.
Simply, accepted theory is that higher volatility stocks (ie riskier) should perform better than lower volatility ones over time. You know, the old risk-return tradeoff.
The thing is that in practice, they don’t.
There’s been a growing body of research and interest into this phenomenon and I thought it would be worthwhile to make some order out of this.
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