Cross-Sectional Dispersion and Expected Returns

Author:

Verousis Thanos,Voukelatos Nikolaos

Publisher

Elsevier BV

Reference33 articles.

1. The cross-section of volatility and expected returns;A Ang;Journal of Finance,2006

2. Stock market dispersion, the business cycle and expected factor returns;T Angelidis;Journal of Banking and Finance,2015

3. Does idiosyncratic risk really matter?;T Bali;Journal of Finance,2005

4. Systematic risk, hedging pressure, and risk premiums in futures markets;H Bessembinder;Review of Financial Studies,1992

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3. Return Dispersion and the Cross-Section of Stock Returns;SSRN Electronic Journal;2018

4. No Pain, No Gain? The Puzzle of Risk-Return Relationship;Price-Based Investment Strategies;2018

5. Building Efficient Portfolios Sensitive to Market Volatility;SSRN Electronic Journal;2016

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