Cross-Sectional Return Dispersion: Global Evidence

Dr Timotheos Angelidis

When?

Wednesday 16 November 2011, 14:00

Where?

75MS02

Open to:

Staff, Students, Public

Abstract

In this study, we examine the properties and portfolio management implications of the return
dispersion in G7 markets. We provide evidence in favour of the view that return dispersion is not only related to idiosyncratic risk but also to market volatility and there is a common global factor that affects country cross sectional variation. Return dispersion is best described by a two-state Markov process and during periods of high volatility is twice than that of the low variance regime. Cross sectional variation predicts value and momentum payoffs.

Speaker biography

Dr. Angelidis obtained his PhD in Finance from the University of Piraeus (Department of Banking and Financial Management) in 2005. He holds an M.Sc. in Finance and Banking also from the University of Piraeus and a B.Sc. in Statistics from the Athens University of Economics & Business. He is currently a Lecturer in Finance at the University of Peloponnese (Department of Economics). Before that he was a Lecturer at the University of Crete and at the University of Aegean. Dr. Angelidis' teaching and research interests are in the areas of Portfolio and Risk Management. In particular, his current research focuses on the risk and return of global multi-asset contrarian strategies, predictability of asset returns, multi factor models of equity risk and their use in portfolio management, evaluation of mutual funds performance and estimation of long-term Value-at-Risk.