Jorgensen, Bjorn N.; Li, Jing; Sadka, Gil - 2009
robust relation between cross-sectional earnings dispersion and aggregate stock returns. Particularly, we document that cross …-sectional earnings dispersion is positively (negatively) correlated with contemporaneous (lagged) stock returns. We offer two alternative … interpretations for our results. First, higher earnings dispersion results in short-run unemployment shocks, as workers migrate to …