We examine whether equity return dispersion, measured by the cross-sectional standard deviation of stock returns, is systematically priced in the cross-section of stock returns in China. We find that return dispersion carries a positive price of risk even after controlling for market, size,...

This study provides a novel perspective to the oil-stock market nexus by examining the predictive ability of oil return and volatility on stock market momentum in China. We find that oil return volatility serves as a strong predictor of industry momentum, even after controlling for stock market...

This paper documents an economically and statistically significant positive premium for oil beta uncertainty in the cross-section of global equity returns. Using a battery of market and portfolio level tests, we show that oil beta uncertainty, measured by the total range spanned by the 95%...

Purpose: The purpose of this paper is to show that the level of herding in an industry can be the basis for a profitable investment strategy. Design/methodology/approach: The authors apply three different herding measures in the paper, including cross-sectional standard deviation,...

This paper has three main contributions to the literature on investor herds. First, it extends investor herding studies to an emerging yet relatively sophisticated Taiwanese stock market at the sector level by using firm level data. Second, it employs different methodologies designed to test the...