6533b852fe1ef96bd12ab584
RESEARCH PRODUCT
Return Dispersion and Cross-Sectional Asset Pricing Anomalies
Klaus GrobysKlaus GrobysJames W. Kolarisubject
Momentum (finance)Market riskAccrualFinancial economicsEconometricsEconomicsCapital asset pricing modelStatistical dispersionInvestment (macroeconomics)health care economics and organizationsdescription
Recent research finds that cross-sectional return dispersion provides a risk-based explanation for some investment anomalies, including accrual, investment, and momentum strategies. This study extends the analyses of return dispersion to a broad set of anomalies by testing whether the state of return dispersion is associated with anomalous returns. Empirical results for 12 well-known anomalies indicate a robust link between good and bad states of return dispersion and most anomalies. Also, return dispersion helps to explain a number anomalies regardless of their association with investor sentiment. We conclude that market risk related to return dispersion plays an important role in many investment anomalies.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2015-01-01 | SSRN Electronic Journal |