Direkt zum Inhalt | Direkt zur Navigation

Benutzerspezifische Werkzeuge

Sektionen
Sie sind hier: Startseite / Forschung / Forschungsprojekte / Forschungsprojekte
zurück zur Übersicht

Measures of cross-sectional dispersion in international stock returns

Projektart und Laufzeit

internes Projekt, Juni 2015 bis Juni 2018

Koordinator

Lehrstuhl für Finance

Forschungsschwerpunkt

Wealth Management

Forschungsgebiet/e

Asset Pricing

Beschreibung

Time-series volatility is a long standing and well established measure of risk for both individual stocks and the market as such. However, the fact that volatility is time variant is not the sole set of available information. Especially during periods of high time-series volatility, the level of idiosyncratic risk can vary significantly in the cross-section of stock returns. This fact is well-known and implicitly embedded in many style investing approaches. So far cross-sectional volatility of returns (return dispersion) has grown in importance on behalf of both academics and practitioners regarding explanatory power in terms of empirical asset pricing and forecasting. The advantage of cross-sectional risk measures over classical option-implied or sample-dependent historical volatility measures is that they are simple to derive, are model free and can be calculated for any frequency without the drawbacks of other volatility measures (liquid derivative markets, loss of observations, …).

The purpose of this project is twofold: First of all, we aim to construct a database including a variety of cross-sectional market factors based on the longest available timeseries of international stock returns for academic and practical application in financial economics and portfolio management, such as asset pricing.

Secondly, we evaluate these factors in the context of explaining and forecasting asset prices (cf., Fama & French 2012, 2014; Welch & Goyal, 2007) and test them as measures of market opportunity in the context of investment management (Cremers and Petajisto, 2009).

Factors (all equally- and value-weighted):
  • Return dispersion (cross-sectional volatility)
  • Alpha and beta dispersion (for Academic and Practitioners)
  • Non-market dispersion
  • Cross-sectional covariance
  • Cross-sectional skewness
  • Cross-sectional kurtosis

Schlagworte

Non-market dispersion, International stock returns, Cross-sectional covariance, Alpha dispersion, Cross-sectional volatility, Cross-sectional skewness, Cross-sectional kurtosis, Return dispersion, Beta dispersion

Projektführende Einrichtung

  • Lehrstuhl für Betriebswirtschaftslehre, Bank- und Finanzmanagement
  • Lehrstuhl für Finance

Publikationen

  • Stöckl, S., & Kaiser, L. (2017). Higher moments matter! Cross-sectional (higher) moments and the predictability of stock returns. University of Liechtenstein.

    details