This paper empirically explores the time-varying risk and return relationship in the Latin American equity markets. Our investigations find some positive linkage between risk and return in Latin America although it does not always perfectly hold. More concretely, first, we find that in the Latin American stock markets, in the daily and quarterly data, positive relationship between risk and return
... [Show full abstract] is relatively often observed although it is not always recognized. Second, we find that in Brazilian and Colombian equity markets, positive relations between risk and return are relatively often observed. On the other hand, from our investigations, in the stock markets in Chile, no positive risk-return tradeoff is observed.