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Dispersion and Volatility in Stock Returns
Language: en
Pages: 54
Authors: John Y. Campbell
Categories: Rate of return
Type: BOOK - Published: 1998 - Publisher:

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This paper studies three different measures of monthly stock market volatility: the time-series volatility of daily market returns within the month; the cross-s
Dispersion and volatility in stock returns
Language: es
Pages: 29
Authors: John Y. Campbell
Categories:
Type: BOOK - Published: 1999 - Publisher:

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Dispersion and Volatility in Stock Returns
Language: en
Pages: 42
Authors: Martin Lettau
Categories:
Type: BOOK - Published: 2010 - Publisher:

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This paper studies three different measures of monthly stock market volatility: the time-series volatility of daily market returns within the month; the cross-s
The Cross-sectional Dispersion of Stock Returns, Alpha and the Information Ratio
Language: en
Pages: 32
Authors: Larry R. Gorman
Categories: Financial risk management
Type: BOOK - Published: 2009 - Publisher:

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We find that the cross-sectional dispersion of U.S. stock returns provides economically significant forecasts of alpha dispersion across high- and low-performin
Firm-Level Return Dispersion and the Future Volatility of Aggregate Stock Market Returns
Language: en
Pages:
Authors: Chris T. Stivers
Categories:
Type: BOOK - Published: 2007 - Publisher:

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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 int