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Return dispersion and expected returns

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  • Xiaoquan Jiang

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    File URL: http://hdl.handle.net/10.1007/s11408-009-0122-1
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    Bibliographic Info

    Article provided by Springer in its journal Financial Markets and Portfolio Management.

    Volume (Year): 24 (2010)
    Issue (Month): 2 (June)
    Pages: 107-135

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    Handle: RePEc:kap:fmktpm:v:24:y:2010:i:2:p:107-135

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    Web page: http://www.springerlink.com/link.asp?id=119763

    Related research

    Keywords: Return dispersion; Cross-sectional returns; Asset pricing; Market volatility; Idiosyncratic volatility; G11; G12;

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    1. Bekaert, Geert & Harvey, Campbell R., 1997. "Emerging equity market volatility," Journal of Financial Economics, Elsevier, Elsevier, vol. 43(1), pages 29-77, January.
    2. Xiaoquan Jiang & Bong-Soo Lee, 2006. "The Dynamic Relation Between Returns and Idiosyncratic Volatility," Financial Management, Financial Management Association, Financial Management Association, vol. 35(2), Summer.
    3. Xiaoquan Jiang & Bong-Soo Lee, 2006. "The Dynamic Relation Between Returns and Idiosyncratic Volatility," Financial Management, Financial Management Association International, Financial Management Association International, vol. 35(2), pages 43-65, 06.
    4. Alon Brav & George M. Constantinides & Christopher C. Geczy, 1999. "Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence," CRSP working papers 505, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    5. Vassalou, Maria, 2003. "News related to future GDP growth as a risk factor in equity returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 68(1), pages 47-73, April.
    6. Lewellen, Jonathan & Nagel, Stefan, 2003. "The Conditional CAPM Does Not Explain Asset-pricing Anomalies," Working papers 4427-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    7. Grossman, Sanford J & Shiller, Robert J, 1981. "The Determinants of the Variability of Stock Market Prices," American Economic Review, American Economic Association, vol. 71(2), pages 222-27, May.
    8. Campbell, John Y, 1996. "Understanding Risk and Return," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 104(2), pages 298-345, April.
    9. Goetzmann, William N. & Massa, Massimo, 2005. "Dispersion of opinion and stock returns," Journal of Financial Markets, Elsevier, Elsevier, vol. 8(3), pages 324-349, August.
    10. Luboš Pástor & Robert F. Stambaugh, . "Liquidity Risk and Expected Stock Returns," CRSP working papers 531, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    11. Robert Connolly & Chris Stivers, 2003. "Momentum and Reversals in Equity-Index Returns During Periods of Abnormal Turnover and Return Dispersion," Journal of Finance, American Finance Association, American Finance Association, vol. 58(4), pages 1521-1556, 08.
    12. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, Elsevier, vol. 19(1), pages 3-29, September.
    13. Michael Horvath, 1998. "Cyclicality and Sectoral Linkages: Aggregate Fluctuations from Independent Sectoral Shocks," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 1(4), pages 781-808, October.
    14. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2004. "The Cross-Section of Volatility and Expected Returns," NBER Working Papers 10852, National Bureau of Economic Research, Inc.
    15. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
    16. Harvey, Campbell R., 2001. "The specification of conditional expectations," Journal of Empirical Finance, Elsevier, Elsevier, vol. 8(5), pages 573-637, December.
    17. Fama, Eugene F. & French, Kenneth R., 1997. "Industry costs of equity," Journal of Financial Economics, Elsevier, Elsevier, vol. 43(2), pages 153-193, February.
    18. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, Elsevier, vol. 33(1), pages 3-56, February.
    19. Loungani, Prakash & Rush, Mark & Tave, William, 1990. "Stock market dispersion and unemployment," Journal of Monetary Economics, Elsevier, Elsevier, vol. 25(3), pages 367-388, June.
    20. Shanken, Jay, 1992. "On the Estimation of Beta-Pricing Models," Review of Financial Studies, Society for Financial Studies, vol. 5(1), pages 1-33.
    21. Bessembinder, Hendrik & Chan, Kalok & Seguin, Paul J., 1996. "An empirical examination of information, differences of opinion, and trading activity," Journal of Financial Economics, Elsevier, Elsevier, vol. 40(1), pages 105-134, January.
    22. Markus Ebner & Thorsten Neumann, 2005. "Time-Varying Betas of German Stock Returns," Financial Markets and Portfolio Management, Springer, Springer, vol. 19(1), pages 29-46, June.
    23. Kris Jacobs & Kevin Q. Wang, 2004. "Idiosyncratic Consumption Risk and the Cross Section of Asset Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 59(5), pages 2211-2252, October.
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    Cited by:
    1. Demirer, Rıza & Jategaonkar, Shrikant P., 2013. "The conditional relation between dispersion and return," Review of Financial Economics, Elsevier, Elsevier, vol. 22(3), pages 125-134.

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