The beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the US equity market, the study develops measures to predict future market returns. These dispersion measures have substantial predictive power for future market movements. Moreover, I show that the information content of beta dispersion can be successfully exploited by market timing strategies with the help of distributional regressions. The innovative application of this novel approach of modeling the relationship between multiple variables appears to be quite useful for timing strategies.

Beta分散度是Beta在股票市场上的传播，可以解释为衡量市场脆弱性的一种方法。这项研究探讨了β分散的经济学思想及其作为市场回报预测指标的应用。基于在美国股票市场中观察到的经验β离散，该研究制定了预测未来市场收益的措施。这些分散措施对未来的市场走势具有重要的预测能力。而且，我表明，在分布回归的帮助下，市场时机策略可以成功利用β离散的信息内容。这种新颖的对多个变量之间的关系进行建模的方法的创新应用看来对于计时策略非常有用。