Dispersion And Volatility In Stock Returns
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Dispersion And Volatility In Stock Returns
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Author : John Y. Campbell
language : en
Publisher:
Release Date : 1998
Dispersion And Volatility In Stock Returns written by John Y. Campbell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Rate of return categories.
This paper studies three different measures of monthly stock market volatility: the time-series volatility of daily market returns within the month; the cross-sectional volatility or 'dispersion' of daily returns on industry portfolios, relative to the market, within the month; and the dispersion of daily returns on individual firms, relative to their industries, within the month. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market volatility. All the volatility measures move together in a countercyclical fashion. While market volatility tends to lead the other volatility series, industry-level volatility is a particularly important leading indicator for the business cycle.
Dispersion And Volatility In Stock Returns
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Author : John Y. Campbell
language : es
Publisher:
Release Date : 1999
Dispersion And Volatility In Stock Returns written by John Y. Campbell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with categories.
Dispersion And Volatility In Stock Returns
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Author : Martin Lettau
language : en
Publisher:
Release Date : 2010
Dispersion And Volatility In Stock Returns written by Martin Lettau and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
This paper studies three different measures of monthly stock market volatility: the time-series volatility of daily market returns within the month; the cross-sectional volatility or 'dispersion' of daily returns on industry portfolios, relative to the market, within the month; and the dispersion of daily returns on individual firms, relative to their industries, within the month. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market volatility. All the volatility measures move together in a countercyclical fashion. While market volatility tends to lead the other volatility series, industry-level volatility is a particularly important leading indicator for the business cycle.
Firm Level Return Dispersion And The Future Volatility Of Aggregate Stock Market Returns
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Author : Chris T. Stivers
language : en
Publisher:
Release Date : 2007
Firm Level Return Dispersion And The Future Volatility Of Aggregate Stock Market Returns written by Chris T. Stivers and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
We find a sizable positive relation between firm return dispersion and future market-level volatility in U.S. monthly equity returns from 1927 to 1995. This intertemporal relation remains strong when controlling for economic conditions and for return shocks in the aggregate stock market, widely-used factor-mimicking portfolios, and government bonds. In contrast, the well-known positive relation between market-return shocks and future market-level volatility largely disappears when controlling for firm return dispersion. We also document how firm return dispersion moves with the contemporaneous market return and with economic conditions. Collectively, our evidence suggests that the time variation in firm return dispersion has important market-wide implications.
The Cross Sectional Dispersion Of Stock Returns Alpha And The Information Ratio
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Author : Larry R. Gorman
language : en
Publisher:
Release Date : 2009
The Cross Sectional Dispersion Of Stock Returns Alpha And The Information Ratio written by Larry R. Gorman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Financial risk management categories.
We find that the cross-sectional dispersion of U.S. stock returns provides economically significant forecasts of alpha dispersion across high- and low-performing portfolios of stocks over 3-month and 1-year horizons. Conventional measures of time-series volatility provide similar signals regarding alpha dispersion, but neither cross-sectional return dispersion nor time-series volatility identify future dispersion in the information ratio. These results suggest that absolute return investors can use both cross-sectional dispersion and time-series volatility as signals to improve the tactical timing of their alpha-focused strategies, but relative return investors, keeping score in an information ratio framework, are unlikely to find dispersion or volatility valuable as signals of when to increase or decrease the activeness of their strategies.
Analyst Forecast Dispersion And Future Stock Return Volatility
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Author : Madhu Kalimipalli
language : en
Publisher:
Release Date : 2006
Analyst Forecast Dispersion And Future Stock Return Volatility written by Madhu Kalimipalli and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
In this paper, we examine the relationship between analysts' forecast dispersion and future stock return volatility using monthly data for a cross section of 160 US firms from 1981 to 1996. We find that there is a strong and positive relationship between analysts' forecast dispersion and future return volatility. The dispersion measure has incremental information content even after accounting for market volatility. These results are robust across sub-sample periods and sub-samples based on based on number of analysts following a firm, forecast dispersion and market capitalization. There is also a strong seasonal relationship between the dispersion measure and future volatility. The importance of dispersion on future return volatility is high in January and the first few months of the year, and declines thereafter. Such information content of analysts' earnings forecast dispersion is of great importance for active portfolio management, option pricing and arbitrage trading strategies.
Asymmetric Cross Sectional Dispersion In Stock Returns
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Author : Gregory R. Duffee
language : en
Publisher:
Release Date : 2001
Asymmetric Cross Sectional Dispersion In Stock Returns written by Gregory R. Duffee and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Stocks categories.
Disagreement Excess Volatility And Comovement In Stock Returns
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Author : Xuezhong He
language : en
Publisher:
Release Date : 2017
Disagreement Excess Volatility And Comovement In Stock Returns written by Xuezhong He and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
This paper analyzes the impact of dispersion and correlation in investors' beliefs on the cross-section of volatilities and correlations in stock returns. Theoretically, we show that, in a baseline model with logarithmic agents and constant beliefs, there is a positive relationship between belief dispersion and stock volatility, and a positive relationship between belief correlation and return correlation. Extensions to CRRA preference, learning, and multiple agents show that the baseline results are generally robust for reasonable model parameter values. Empirically, we find supporting evidence on the theoretical predictions of the baseline model using analysts' forecasts of earnings as a proxy for investors' beliefs, suggesting that disagreement provides a plausible explanation to the excess volatility and comovement in stock returns.
Stock Market Dispersion The Business Cycle And Expected Factor Returns
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Author : Timotheos Angelidis
language : en
Publisher:
Release Date : 2015
Stock Market Dispersion The Business Cycle And Expected Factor Returns written by Timotheos Angelidis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
We provide evidence using data from the G7 countries suggesting that return dispersion may serve as an economic state variable in that it reliably predicts time-variation in economic activity, market returns, the value and momentum premia and market volatility. A relatively high return dispersion predicts a deterioration in business conditions, a higher value premium, a smaller momentum premium and lower market returns. Dispersion based market and factor timing strategies outperform out-of-sample buy and hold strategies. The evidence are robust to alternative specifications of return dispersion and are not driven by US data. Return dispersion conveys incremental information relative to idiosyncratic risk.
Return Volatility Cross Sectional Dispersion And Trading Activity In The Equity And Futures Markets
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Author : Hendrik Bessembinder
language : en
Publisher:
Release Date : 1993
Return Volatility Cross Sectional Dispersion And Trading Activity In The Equity And Futures Markets written by Hendrik Bessembinder and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Futures categories.