The Journal of Finance, 61 2 Investors are risk averse Hug,p.
The theory says that the only reason an investor should earn more, on average, by investing in one stock rather than another is that one stock is riskier. All investors have homogeneous expectations, meaning that they identically estimate expected returns, standard deviations and correlations of returns among all assets.
Jagannathan, R. Are broadly diversified across a range of investments. Admissible uncertainty in the intertemporal asset pricing model.
This relationship can also be empirically examined when looking at the return development of different assets.