Cross-Sectional Return Dispersion and Time Variation in Value and Momentum Premiums
研究发现股票市场近期横截面收益离散度与后续价值溢价正相关、与动量溢价负相关，且这种关系在控制宏观经济变量后依然显著，为理解价值与动量溢价的周期性变化提供了新视角。
Abstract We find that the market’s recent cross-sectional dispersion in stock returns is positively related to the subsequent value book-to-market premium and negatively related to the subsequent momentum premium. The partial relation between return dispersion (RD) and the subsequent value and momentum premiums remains strong when controlling for macroeconomic state variables suggested by the literature. Our findings are consistent with recent theoretical insights and empirical evidence that suggest that the market’s RD may serve as a leading countercyclical state variable, that the value premium is countercyclical, and that the momentum premium is procyclical.