Risk–return relationship and individualism

Sung Won Seo, Jiseob Kim, Jun Sik Kim

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)


This paper investigates the impact of individualism on risk–return relationship across countries. In theory, return is expected to have a positive relation with risk. However, we find an insignificant relation between the stock market’s return and the market’s conditional variance. Our empirical evidence also suggests that higher individualism weakens the relationship between return and variance. These findings are consistent with the investors in highly individualistic countries who are overoptimism or overconfident with risk mis-estimations.

Original languageEnglish
Pages (from-to)760-766
Number of pages7
JournalApplied Economics Letters
Issue number8
Publication statusPublished - 2022

Bibliographical note

Funding Information:
This work was supported by the Incheon National University [Incheon National University Research Grant in 2017].

Publisher Copyright:
© 2021 Informa UK Limited, trading as Taylor & Francis Group.

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics


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