Stock Market Dispersion, the Business Cycle and Expected Factor Returns

Timotheos Angelidis, Athanasios Sakkas, Nikolaos Tessaromatis: This study provides 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.

Author(s) :

Timotheos Angelidis

Department of Economics,University of Peloponnese, Greece

Athanasios Sakkas

Department of Accounting and Finance,Athens University of Economics and Business, Greece

Nikolaos Tessaromatis

EDHEC Business School and EDHEC-Risk Institute, France

Presentation :

A relatively high return dispersion predicts a deterioration in business conditions, a higher value premium, a smaller momentum premium and lower market returns. The evidence is robust to alternative specifications of return dispersion and is not driven by US data. Return dispersion conveys incremental information relative to idiosyncratic risk.
Pdf
Stock Market Dispersion, the Business Cycle and Expected Factor Returns...
(3.41 MB)
Type : Working paper
Date : le 14/09/2015
Extra information : For more information, please contact EDHEC Research and Development Department [ research@drd.edhec.edu ]
Research Cluster : Finance

See Also

EDHEC consolidates its position as a world-leading school for business and entrepreneurship
- 03-07-2017
Founded by entrepreneurs, EDHEC has embraced the fundamental values of business for...
Station F successfully inaugurated in the presence of Emmanuel Macron and EDHEC
- 29-06-2017
EDHEC announced this May that it had joined Station F, the world’s biggest start-up...
- 22-06-2017
Peter Daly and Dennis Davy, professors at EDHEC Business School specialised in Language...
Financial Times ranking 2017: #1 Master in Finance Worldwide
- 19-06-2017
EDHEC Business School’s Master in Finance tops the Financial Times Masters in Finance...