Information content and other characteristics of the daily cross-sectional dispersion in stock returns
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- Kuntz, Laura-Chloé, 2020. "Beta dispersion and market timing," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 235-256.
- Chen, Chun-Da & Demirer, Riza & Jategaonkar, Shrikant P., 2015. "Risk and return in the Chinese stock market: Does equity return dispersion proxy risk?," Pacific-Basin Finance Journal, Elsevier, vol. 33(C), pages 23-37.
- Chiang, Thomas C. & Zheng, Dazhi, 2010. "An empirical analysis of herd behavior in global stock markets," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1911-1921, August.
- Docherty, Paul & Hurst, Gareth, 2018. "Return dispersion and conditional momentum returns: International evidence," Pacific-Basin Finance Journal, Elsevier, vol. 50(C), pages 263-278.
- Lin, Mei-Chen & Wu, Chu-Hua & Chiang, Ming-Ti, 2014. "Investor attention and information diffusion from analyst coverage," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 235-246.
- Riza Demirer & Rangan Gupta & Zhihui Lv & Wing-Keung Wong, 2019.
"Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests,"
Sustainability, MDPI, vol. 11(2), pages 1-15, January.
- Riza Demirer & Rangan Gupta & Zhihui Lv & Wing-Keung Wong, 2018. "Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests," Working Papers 201846, University of Pretoria, Department of Economics.
- Sanjay Sehgal & Vidisha Garg & Florent Deisting, 2012. "Relationship between cross sectional volatility and stock returns: Evidence From India," Post-Print hal-01881918, HAL.
- Chichernea, Doina C. & Holder, Anthony D. & Petkevich, Alex, 2015. "Does return dispersion explain the accrual and investment anomalies?," Journal of Accounting and Economics, Elsevier, vol. 60(1), pages 133-148.
- Demirer, Rıza & Jategaonkar, Shrikant P., 2013.
"The conditional relation between dispersion and return,"
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- Rıza Demirer & Shrikant P. Jategaonkar, 2013. "The conditional relation between dispersion and return," Review of Financial Economics, John Wiley & Sons, vol. 22(3), pages 125-134, September.
- Fei, Tianlun & Liu, Xiaoquan & Wen, Conghua, 2019. "Cross-sectional return dispersion and volatility prediction," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).
- Stavros Degiannakis & Andreas Andrikopoulos & Timotheos Angelidis & Christos Floros, 2013. "Return dispersion, stock market liquidity and aggregate economic activity," Working Papers 166, Bank of Greece.
- Cheng, Mengyao, 2022. "Legislative gridlock and stock return dispersion around roll-call votes," Journal of Banking & Finance, Elsevier, vol. 138(C).
- Angelidis, Timotheos & Sakkas, Athanasios & Tessaromatis, Nikolaos, 2015. "Stock market dispersion, the business cycle and expected factor returns," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 265-279.
- Kuntz, Laura-Chloé, 2020. "Beta dispersion and market timing," Discussion Papers 46/2020, Deutsche Bundesbank.
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