Download or read book Firm-Level Return Dispersion and the Future Volatility of Aggregate Stock Market Returns written by Chris T. Stivers and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We find a sizable positive relation between firm return dispersion and future market-level volatility in U.S. monthly equity returns from 1927 to 1995. This intertemporal relation remains strong when controlling for economic conditions and for return shocks in the aggregate stock market, widely-used factor-mimicking portfolios, and government bonds. In contrast, the well-known positive relation between market-return shocks and future market-level volatility largely disappears when controlling for firm return dispersion. We also document how firm return dispersion moves with the contemporaneous market return and with economic conditions. Collectively, our evidence suggests that the time variation in firm return dispersion has important market-wide implications.