Matches in SemOpenAlex for { <https://semopenalex.org/work/W2150104312> ?p ?o ?g. }
- W2150104312 abstract "In this paper, I examine whether stock return dispersion (RD) provides useful information about future stock returns. RD consistently forecasts a decline in the excess market return at multiple horizons, and compares favorably with alternative predictors used in the literature. The out-of-sample performance of RD tends to beat the alternative predictors, and is economically significant as indicated by the certainty equivalent gain associated with a trading investment strategy. RD has greater forecasting power for big and growth stocks compared to small and value stocks, respectively. I discuss a theoretical mechanism giving rise to the negative correlation between RD and the equity premium." @default.
- W2150104312 created "2016-06-24" @default.
- W2150104312 creator A5048727810 @default.
- W2150104312 date "2012-01-01" @default.
- W2150104312 modified "2023-09-26" @default.
- W2150104312 title "Return Dispersion and the Predictability of Stock Returns" @default.
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- W2150104312 doi "https://doi.org/10.2139/ssrn.2021346" @default.
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