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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