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Cross-Sectional Dispersion and Expected Returns · Study

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ArticleCross-Sectional Dispersion and Expected Returns

Thanos Verousis2015

OA

Articlegreen2015

Cross-Sectional Dispersion and Expected Returns

Thanos Verousis · Nikolaos Voukelatos

18 citations·0/0 files stored·Quantitative Finance

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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 1997On Persistence in Mutual Fund Performance 1973Risk, Return, and Equilibrium: Empirical Tests 1987A Simple Model of Capital Market Equilibrium with Incomplete Information 2003Liquidity Risk and Expected Stock Returns 2006The Cross‐Section of Volatility and Expected Returns 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction 2000Conditional Skewness in Asset Pricing Tests

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2018Return Dispersion and the Cross-Section of Stock Returns

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2014Options-implied variance and future stock returnsarticle · 14 shared references 2021What Does the Cross‐Section Tell About Itself? Explaining Equity Risk Premia with Stock Return Momentsarticle · 14 shared references 2015… and the Cross-Section of Expected Returnsarticle · 13 shared references 2017Idiosyncratic risk and the cross section of stock returnsthesis · 13 shared references 2006The Cross‐Section of Volatility and Expected Returnsarticle · 12 shared references 2009Return Reversals, Idiosyncratic Risk, and Expected Returnsarticle · 12 shared references

Details

Year2015

Typearticle

Published2015-01-01

VenueQuantitative Finance

ISSN-L1469-7688

Languageen

Citations18

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1080/14697688.2017.1414515

openalex_workW3123280823

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