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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.

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
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