SSRN-The Risk Return Tradeoff in the Long-Run: 1836-2003 by Christian Lundblad
Lundblad looks at US stock data from 1836 and finds sure enough that risk and return are related. SHOCK!
"I obtain a positive and significant relationship between the expected market return and conditional market volatility regardless of how the model is specified."
Whew. Risk and return are related. Not that I ever really doubted it, but sometimes in a weak moment and when papers suggest that there is only weak evidence of a relationship, some of you doubt it. Well doubt no more! lol...While I make fun of the expected finding, it is important to verify and the history on the data set (see section 3) alone makes it worthwhile to read! I should warn you, it is not the historian's standard fare, but rather quite mathematical.
Lundblad, Christian T., "The Risk Return Tradeoff in the Long-Run: 1836-2003" (October 2004). http://ssrn.com/abstract=671324