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Title

Sector Dispersion and Stock Market Predictability.

Authors

Ratner, Mitchell; Meric, Ilhan; Meric, Gulser

Abstract

The article studies sector dispersion, which is the variation of returns between stock sector indexes over time, and its influence on the predictability of the stock market. It has been found that dispersion was an efficient predictor of volatility when the market was on the bear cycle, but not during bull market cycles. However, it was an effective return predictor during both bull and bear market cycles.

Subjects

STOCK exchanges; INVESTMENT analysis; BEAR markets; BULL markets; FINANCIAL planning; FINANCIAL management

Publication

Journal of Investing, 2006, Vol 15, Issue 1, p56

ISSN

1068-0896

Publication type

Academic Journal

DOI

10.3905/joi.2006.616845

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