Jeffrey F. Jaffe, Gershon Mandelker, The "Fisher Effect" for Risky Assets: An Empirical Investigation, The Journal of Finance, Vol. 31, No. 2, Papers and Proceedings of the Thirty-Fourth Annual Meeting of the American Finance Association Dallas, Texas December 28-30, 1975 (May, 1976), pp. 447-458
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Jaffe et al. (1976) studied this question.