The extent to which a set of asset prices tends to diverge over time is of considerable interest to academics and practitioners. But there is no standard definition of dispersion. A definition is offered here which derives from four simple axioms, and its properties are discussed. Viewed in the...

Higher moments of long-horizon returns are important for asset pricing but are hard to measure accurately using standard techniques. We provide theory showing that short-horizon (e.g. daily) returns can be used to construct precise estimates of long-horizon (e.g. annual) moments without making...