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

Sector Dispersion and Stock Market Predictability.

Ratner, Mitchell; Meric, Ilhan; Meric, Gulser