The conditional relation between dispersion and return

Review of Financial Economics - Tập 22 - Trang 125-134 - 2013
Rıza Demirer1, Shrikant P. Jategaonkar1
1Department of Economics & Finance, Southern Illinois University Edwardsville, Edwardsville, IL 62026–1102, United States

Tóm tắt

AbstractThe main goal of this paper is to examine the conditional pricing effect of return dispersion on the cross section of returns. We observe a systematic conditional relation between dispersion and return even after controlling for market, size and book‐to‐market factors. However, we find that return dispersion risk is asymmetrically priced with a significantly positive premium observed during periods of large market gains only. The findings are found to be robust to alternative conditional specifications of market returns, suggesting asymmetric pricing effect of the return dispersion factor. We provide alternative explanations for the systematic risk captured by the return dispersion factor and discuss implications for portfolio management and corporate decisions.

Tài liệu tham khảo

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Review of Financial Economics

Tập 22

125-134

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