Work

Cross-Sectional Return Dispersion and Time Variation in Value and Momentum Premiums

Year: 2010

Type: article

Abstract: We find that the market’s recent cross-sectional dispersion in stock returns is positively related to the subsequent value book-to-market premium and negatively related to the subsequent momentum premium. The partial relation between return dispersion (RD) and the subsequent value and momentum premiums remains strong when controlling for macroeconomic state variables suggested by the literature. Our findings are consistent with recent theoretical insights and empirical evidence that suggest that the market’s RD may serve as a leading countercyclical state variable, that the value premium is countercyclical, and that the momentum premium is procyclical.

Source: Journal of Financial and Quantitative Analysis

DOI: 10.1017/s0022109010000384

Authors: Chris Stivers, Licheng Sun

Institutions: University of Louisville, Old Dominion University

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2149303229

FWCI: 18.94

Cites: 30

Cited by: 191

Related to: 10