The intertemporal relationship between return and risk: Some recent South African evidence

The paper confirms the well established negative relationships between share returns and contemporaneous volatility for South Africa. Regressions are also performed relating observed returns, as a proxy for expected returns, to the anticipated and unanticipated components of volatility. The results of the All Share Index conform to the intertemporal CAPM theory. The results of the Industrial Index provide less support for this theory, while the Gold Index leads to inconclusive results, with relatively large estimated values of the index of relative risk aversion.