return dispersion

Higher Moments Matter! Cross-Sectional (Higher) Moments and the Predictability of Stock Returns
In this paper we investigate the predictive power of cross-sectional volatility, skewness and kurtosis for future stock returns.
Preprint PDF Cite DOI REVIEW OF FINANCIAL ECONOMICS SGF 2017
Higher Moments Matter! Cross-Sectional (Higher) Moments and the Predictability of Stock Returns