An investment-based explanation for the dispersion anomaly

DOI10.1016/J.ECONLET.2019.108832MaRDI QIDQ2292807zbMATH OpenOpenAlexWikidataFDO

Authors Byoung-Kyu Min, Tai-Yong Roh

Publication date 5 February 2020

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2019.108832

zbMATH Keywords

structural estimationdispersion anomalyinvestment-based asset pricing

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial markets (91G15)

Recommendations

• Cross-sectional dispersion and expected returns
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• Geographic distribution of firms and expected stock returns
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(3)

• An augmented \(q\)-factor model with expected growth
• Geographic distribution of firms and expected stock returns
• Cross-sectional dispersion and expected returns

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