Cross-sectional dispersion and expected returns
研究发现股票收益的横截面离散度（反映市场特质风险水平）是一种定价状态变量，对离散度敏感度高的股票预期收益较低，且离散度具有显著为负的风险溢价（每年-1.32%），该效应独立于其他系统性因子。
This study investigates whether the cross-sectional dispersion of stock returns, which reflects the aggregate level of idiosyncratic risk in the market, represents a priced state variable. We find that stocks with high sensitivities to dispersion offer low expected returns. Furthermore, a zero-cost spread portfolio that is long (short) in stocks with low (high) dispersion betas produces a statistically and economically significant return. Dispersion is associated with a significantly negative risk premium in the cross section (–1.32% per annum) which is distinct from premia commanded by alternative systematic factors. These results are robust to stock characteristics and market conditions.