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Primary Article

Sector Dispersion and Stock Market Predictability

Mitchell Ratner, Ilhan Meric and Gulser Meric
The Journal of Investing Spring 2006, 15 (1) 56-61; DOI: https://doi.org/10.3905/joi.2006.616845
Mitchell Ratner
Associate Professor of Finance at Rider University, Lawrenceville, NJ Ratner@Rider.Edu
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Ilhan Meric
Professor of Finance at Rider University, Lawrenceville, NJ Meric@Rider.Edu
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Gulser Meric
Professor of Finance at Rowan University, Glassboro, NJ Meric@Rowan.Edu
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Abstract

This paper investigates the lead/lag relationship between the variation of the 10 primary sector indexes (sector dispersion) with market returns and market volatility. The sample consists of U.S. data from January 1974 through December 2003. This study documents a statistically significant lead/lag relationship between sector dispersion and both market returns and market volatility. Asymmetry analysis reveals that high sector dispersion is a consistent predictor of market volatility. Dispersion is found to be an effective predictor of bear market volatility, and both bull market and bear market returns.

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The Journal of Investing
Vol. 15, Issue 1
Spring 2006
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Sector Dispersion and Stock Market Predictability
Mitchell Ratner, Ilhan Meric, Gulser Meric
The Journal of Investing Feb 2006, 15 (1) 56-61; DOI: 10.3905/joi.2006.616845

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Sector Dispersion and Stock Market Predictability
Mitchell Ratner, Ilhan Meric, Gulser Meric
The Journal of Investing Feb 2006, 15 (1) 56-61; DOI: 10.3905/joi.2006.616845
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Cited By...

  • The Cross-Sectional Dispersion of Stock Returns, Alpha, and the Information Ratio
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