| Tekijä: | Ankrim, E. M. Ding, Z. |
| Otsikko: | Cross-Sectional Volatility and Return Dispersion |
| Lehti: | Financial Analysts' Journal
2002 : SEP-OCT, VOL. 58:5, p. 67-73 |
| Asiasana: | VOLATILITY FINANCE MANAGEMENT STOCK MARKETS |
| Kieli: | eng |
| Tiivistelmä: | In the past few years, the return spread between successful and unsuccessful active managers has increased dramatically. The authors analyzed how levels of cross-sectional volatility correspond to active manager dispersion in the U.S. and other equity markets. The authors demonstrate that changes in the level of cross- sectional volatility have a significant association with the distribution of active manager returns. The authors further show that these observations are neither unique to U.S. equities nor merely a product of the "technology bubble"; they are observable in several equity markets. The paper provides a substantial list of references on this subject. |
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