Our best finance theories predict riskier assets gain high returns. From the July Journal of Financial Economics:
Previous studies typically find a statistically insignificant relation between the market risk premium and its expected volatility. … {But] even 100 years of data constitute a small sample … Using the nearly two century history of U.S. equity market returns [1802-2003] … I estimate a positive and statistically significant risk return tradeoff.
Remember this whenever someone says that your theory doesn’t seem to give significant results on ten years of data – sometimes you just need a lot more data.
Added: I should have been more critical of this paper. See good comments by Eric Falkenstein.