Cross-sectional dispersion and expected returns

DOI10.1080/14697688.2017.1414515MaRDI QIDQ4554465zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

cross-sectional dispersioncross section of stock returnspricing factor

Mathematics Subject Classification ID

Portfolio theory (91G10)

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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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