کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5088537 1478316 2015 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Stock market dispersion, the business cycle and expected factor returns
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Stock market dispersion, the business cycle and expected factor returns
چکیده انگلیسی

We provide evidence using data from the G7 countries suggesting that return dispersion may serve as an economic state variable in that it reliably predicts time-variation in economic activity, market returns, the value and momentum premia and market volatility. A relatively high return dispersion predicts a deterioration in business conditions, a higher value premium, a smaller momentum premium and lower market returns. Dispersion based market and factor timing strategies outperform out-of-sample buy and hold strategies. The evidence are robust to alternative specifications of return dispersion and are not driven by US data. Return dispersion conveys incremental information relative to idiosyncratic risk.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 59, October 2015, Pages 265-279
نویسندگان
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