• Media type: E-Book
  • Title: Are Return Predictors of Industrial Equity Indexes Common across Regions?
  • Contributor: Bengitoz, Pelin [VerfasserIn]; Umutlu, Mehmet [VerfasserIn]
  • imprint: [S.l.]: SSRN, [2023]
  • Extent: 1 Online-Ressource (50 p)
  • Language: English
  • DOI: 10.2139/ssrn.4413325
  • Identifier:
  • Keywords: Return predictability ; International portfolio management ; Industrial equity indexes ; Cross-section of index returns
  • Origination:
  • Footnote: In: Journal of Asset Management
    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 1, 2023 erstellt
  • Description: We investigate the potential cross-sectional relationship between several equity index attributes and future returns on country-industry indexes in the regions of North America, Europe, Asia-Pacific, South America, MENA, and Japan. Index attributes include the recently documented predictors in the cross-section of stock or index returns such as return range, maximum and minimum returns in a month, idiosyncratic skewness as well as widely documented predictors at the stock level. Maximum and minimum effects are common for all regions. Return range significantly predicts returns in Europe, Asia-Pacific, and South America after controlling for other index attributes. Standard deviation and idiosyncratic volatility have strong predictive ability in Europe, Asia-Pacific, South America, MENA, and Japan. Intermediate term momentum forecasts returns on North American and European portfolios. Earnings-to-price ratio is cross-sectionally linked to returns in Europe. Portfolio sorts show that the predictive power of significant index attributes increases with decreasing index size
  • Access State: Open Access