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Are return predictors of industrial equity indexes common across regions?

Bengitöz, Pelin; Umutlu, Mehmet


Pelin Bengitöz


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.

Journal Article Type Article
Acceptance Date Apr 4, 2023
Online Publication Date May 9, 2023
Publication Date 2023-09
Deposit Date May 12, 2023
Publicly Available Date May 10, 2024
Journal Journal of Asset Management
Print ISSN 1470-8272
Electronic ISSN 1479-179X
Publisher Palgrave Macmillan
Peer Reviewed Peer Reviewed
Volume 24
Pages 396–418
Keywords Return predictability; International portfolio management; Industrial equity indexes; Cross-section of index returns


Are Return Predictors Of Industrial Equity Indexes Common Across Regions? (accepted version) (1.7 Mb)

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