Cross-sectional dispersion and expected returns

DOI10.1080/14697688.2017.1414515zbMATH Open1400.91566OpenAlexW3123280823MaRDI QIDQ4554465FDOQ4554465

Authors: Thanos Verousis, Nikolaos Voukelatos 

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://repository.essex.ac.uk/24170/1/CSD_wp_4.pdf

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zbMATH Keywords

cross-sectional dispersioncross section of stock returnspricing factor

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Common risk factors in the returns on stocks and bonds
• Economic tracking portfolios

Cited In (7)

• Expected profitability and the cross-section of stock returns
• Warp statistics and financial returns
• The distribution of cross sectional momentum returns
• Earnings Belief Risk and the Cross-Section of Stock Returns*
• Geographic distribution of firms and expected stock returns
• An investment-based explanation for the dispersion anomaly
• Idiosyncratic volatility, expected windfall, and the cross-section of stock returns

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