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ArticleReturn dispersion and expected returns

Xiaoquan Jiang2009

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Articlegreen2009

Return dispersion and expected returns

41 citations·0/0 files stored·Financial markets and portfolio management

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1993Common risk factors in the returns on stocks and bonds 1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 1987A Simple Model of Capital Market Equilibrium with Incomplete Information 1997Industry costs of equity 2003Liquidity Risk and Expected Stock Returns 2006The Cross‐Section of Volatility and Expected Returns 1987Expected stock returns and volatility

Cited by

2014Does return dispersion explain the accrual and investment anomalies?2019Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests 2012The Conditional Relation between Dispersion and Return 2022International Tests of the ZCAPM Asset Pricing Model 2021What Does the Cross‐Section Tell About Itself? Explaining Equity Risk Premia with Stock Return Moments

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2011Empirical cross-sectional asset pricing: a surveyarticle · 22 shared references 2012Multifactor models and their consistency with the ICAPMarticle · 19 shared references 2021What Does the Cross‐Section Tell About Itself? Explaining Equity Risk Premia with Stock Return Momentsarticle · 19 shared references 2013Empirical Cross-Sectional Asset Pricingreview · 17 shared references 2022International Tests of the ZCAPM Asset Pricing Modelarticle · 17 shared references 2005Financial Markets and the Real Economychapter · 16 shared references

Details

Year2009

Typearticle

Published2009-12-22

VenueFinancial markets and portfolio management

ISSN-L1555-4961

Languageen

Citations41

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1007/s11408-009-0122-1

openalex_workW2154979258

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