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Risk-aversion in open-end investment companies White, Robert Wayne

Abstract

The purpose of this study is to examine the three hypotheses: (a) expected returns and risk as measured by the dispersion of returns associated with risk classes of securities are positively correlated, (b) that the variance of returns is the appropriate measure of risk and (c) Canadian investors in open-end investment companies do not exhibit greater risk aversion than their American counterparts. The method of study employed is the application of regression analysis to samples of Canadian and American open-end investment companies. The conclusions drawn from the study are expected returns and risk are positively correlated, risk classes of securities are scaled according to expected returns and variance of returns, and Canadian investors in open-end investment companies do not exhibit more nor less risk aversion than their American counterparts.

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