PT - JOURNAL ARTICLE AU - Mitchell Ratner AU - Ilhan Meric AU - Gulser Meric TI - Sector Dispersion and Stock Market Predictability AID - 10.3905/joi.2006.616845 DP - 2006 Feb 28 TA - The Journal of Investing PG - 56--61 VI - 15 IP - 1 4099 - https://pm-research.com/content/15/1/56.short 4100 - https://pm-research.com/content/15/1/56.full AB - 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.TOPICS: Security analysis and valuation, fundamental equity analysis