Forecast Dispersion and the Cross Section of Expected Returns
β Scribed by TIMOTHY C. JOHNSON
- Book ID
- 109176114
- Publisher
- John Wiley and Sons
- Year
- 2004
- Tongue
- English
- Weight
- 176 KB
- Volume
- 59
- Category
- Article
- ISSN
- 0022-1082
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π SIMILAR VOLUMES
Assuming a symmetric relation between returns and innovations in implied market volatility, Ang, A., Hodrick, R., Xing, Y., and Zhang, X. (2006) find that sensitivities to changes in implied market volatility have a cross-sectional effect on firm returns. Dennis, P., Mayhew, S., and Stivers, C. (200
## Abstract We propose a new nonlinear time series model of expected returns based on the dynamics of the crossβsectional rank of realized returns. We model the __joint__ dynamics of a sharp jump in the crossβsectional rank and the asset return by analyzing (1) the __marginal__ probability distribu