Dr Mehmet Umutlu M.Umutlu@napier.ac.uk
Associate Professor
Return range and the cross-section of expected index returns in international stock markets
Umutlu, Mehmet; Bengitöz, Pelin
Authors
Pelin Bengitöz
Abstract
This study examines the cross-sectional relation between return range and future returns for the first time in literature. We show that the return range can serve as a very practical measure of total volatility instead of standard deviation due to the range's high correlation with standard deviation and strong predictive ability. Range, standard deviation, and idiosyncratic volatility are cross-sectionally linked to future returns on indexes of small size, while earnings-to-price ratio and net share issuance predict returns of mid-cap and large-cap indexes, respectively. Maximum and minimum return effects along with the momentum effect are prevalent in returns of indexes of any size but stronger for small-cap indexes.
Citation
Umutlu, M., & Bengitöz, P. (2021). Return range and the cross-section of expected index returns in international stock markets. Quantitative Finance and Economics, 5(3), 421-451. https://doi.org/10.3934/qfe.2021019
Journal Article Type | Article |
---|---|
Acceptance Date | May 25, 2021 |
Online Publication Date | May 31, 2021 |
Publication Date | 2021 |
Deposit Date | Jan 29, 2023 |
Journal | Quantitative Finance and Economics |
Print ISSN | 2573-0134 |
Electronic ISSN | 2573-0134 |
Publisher | AIMS Press |
Peer Reviewed | Peer Reviewed |
Volume | 5 |
Issue | 3 |
Pages | 421-451 |
DOI | https://doi.org/10.3934/qfe.2021019 |
Keywords | portfolio management, international equity investment, asset pricing |
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