Now showing items 1-4 of 4

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

      Gorman, Larry R.; Sapra, Steven G.; Weigand, Robert A.
      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 Impact of Hedge Funds on Equity Offerings 

      Hull, Robert M.; Kwak, Sungkyu; Walker, Rosemary
      Hedge funds are a small proportion of the overall investment market, but do they have a significant impact on the market? We hypothesize that hedge funds have reduced the volatility in the seasoned equity offering (SEO) ...
    • The Impact of Hedge Funds on the Volatility of Seasoned Equity Offerings (FINAL) 

      Hull, Rob; Kwak, Sungkyu; Walker, Rosemary
      To what extent can hedge funds influence stock price volatility surrounding the announcements of major corporate events? To answer this question, this paper examines one of the more common major corporate events: seasoned ...
    • The Role of Cross-Sectional Dispersion in Active Portfolio Management 

      Gorman, Larry R.;Sapra, Steven G.;Weigand, Robert A.
      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 ...