Concepedia

Cross-sectional Return Variation

Cross-Sectional Return Variation is a financial metric within return analysis that quantifies the dispersion of asset returns across a set of securities at a single point in time, distinguishing it from time-series variation by focusing on differences in performance among assets rather than over time.

518

Publications

73.8K

Citations

872

Authors

525

Institutions

Publications per year

2017–2026

93

Parents

Publications

518

The Cross‐Section of Expected Stock Returns

Eugene F. Fama, Kenneth R. French · The Journal of Finance · 1992 · 15.1K citations · Full text

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Conditional Skewness in Asset Pricing Tests

Campbell R. Harvey, Akhtar R. Siddique · The Journal of Finance · 2000 · 2.9K citations

, , +17

The Conditional CAPM and the Cross‐Section of Expected Returns

Ravi Jagannathan, Zhenyu Wang · The Journal of Finance · 1996 · 2.5K citations · Full text

, , +17

… and the Cross-Section of Expected Returns

Campbell R. Harvey, Yan Liu · Review of Financial Studies · 2015 · 2K citations · Full text

, , +17

Evidence on the Characteristics of Cross Sectional Variation in Stock Returns

Kent Daniel, Sheridan Titman · The Journal of Finance · 1997 · 1.7K citations

, , +17

1–5 of 518

Authors

872

  1. CR
    Campbell R. Harvey

    Duke University, United States

    10 publications · 6K citations

    10

    h-index

  2. RJ
    Ravi Jagannathan

    Northwestern University, United States

    9 publications · 3.7K citations

    9

    h-index

  3. TG
    Turan G. Bali

    Georgetown University, United States

    8 publications · 1.2K citations

    8

    h-index

  4. SV
    Stijn Van Nieuwerburgh

    National Bureau of Economic Research, United States

    6 publications · 538 citations

    6

    h-index

  5. HL
    Hanno Lustig

    University of California, Los Angeles, United States

    5 publications · 1.3K citations

    5

    h-index

1–5 of 872

Institutions

525

  1. National Bureau of Economic Research

    Cambridge, United States

    31 h-index

    69 publications

    12.7K citations

  2. University of Chicago

    Chicago, United States

    17 h-index

    37 publications

    38K citations

  3. Yale University

    New Haven, United States

    16 h-index

    22 publications

    3K citations

  4. Centre for Economic Policy Research

    London, United Kingdom

    15 h-index

    22 publications

    787 citations

  5. University of Pennsylvania

    Philadelphia, United States

    13 h-index

    16 publications

    4.1K citations

  6. New York University

    New York, United States

    11 h-index

    14 publications

    4.2K citations

  7. Boston College

    Boston, United States

    11 h-index

    12 publications

    1.8K citations

  8. University of Hong Kong

    Pok Fu Lam, Hong Kong

    11 h-index

    14 publications

    5.2K citations

1–8 of 525

Venues

  1. SSRN Electronic Journal

    Repository · 144 publications · 7K citations

    42

    h-index

  2. Review of Financial Studies

    20 publications · 8.9K citations

    20

    h-index

  3. The Journal of Finance

    19 publications · 27.2K citations

    19

    h-index

  4. Journal of Financial Economics

    19 publications · 4.2K citations

    17

    h-index

  5. Journal of Financial and Quantitative Analysis

    JFQA · 17 publications · 2.2K citations

    16

    h-index

1–5