We examine whether equity return dispersion, measured by the cross-sectional standard deviation of stock returns, is systematically priced in the cross-section of stock returns in China. We find that return dispersion carries a positive price of risk even after controlling for market, size,...

This study provides a novel perspective to the oil-stock market nexus by examining the predictive ability of oil return and volatility on stock market momentum in China. We find that oil return volatility serves as a strong predictor of industry momentum, even after controlling for stock market...