Browsing by Author "Sapra, Steven G."

Now showing items 1-2 of 2

    • Cross-Sectional Dispersion of Stock Returns, Alpha and the Information Ratio 

      Weigand, Robert A.; Sapra, Steven G.; Gorman, Larry R. (Washburn University. School of Business, 2009-07-1)
      We find that the cross-sectional dispersion of U.S. stock returns provides economically significant forecasts of alpha dispersion across high- and low-performing portfolios of stocks over 3-month and 1-year horizons. ...

    • The Role of Cross-Sectional Dispersion in Active Portfolio Management 

      Weigand, Robert A.; Sapra, Steven G.; Gorman, Larry R. (Washburn University. School of Business, 2009-07-1)
      We show that relaxing one of modern portfolio theory's standard modeling assumptions--that stock returns are uncorrelated--leads to the result that cross-sectional dispersion replaces time-series volatility in many of the ...