Demirer, Rıza; Jategaonkar, Shrikant P. - In: Review of Financial Economics 22 (2013) 3, pp. 125-134
The main goal of this paper is to examine the conditional pricing effect of return dispersion on the cross section of returns. We observe a systematic conditional relation between dispersion and return even after controlling for market, size and book-to-market factors. However, we find that...