• I. Data
  • A. Sample Selection
  • B. Return Data
  • II. Testing for the Dispersion Effect
  • A. Risk and Return
  • B. Time-Series Regressions
  • III. Data Snooping Biases and the Dispersion Effect
  • A. Accounting for Multiple Testing
  • B. Is the Dispersion Effect Due to Data Snooping Biases?
  • IV. Explaining the Dispersion Effect
  • A. The Dispersion Effect over Time
  • B. The Dispersion Effect and Suppressed Negative Information
  • C. The Dispersion Effect and Information Uncertainty
  • V. Conclusion
  • Appendix
  • References