All Outputs (3)

Decomposing the earnings-to-price ratio and the cross-section of international equity-index returns (2021)
Journal Article
Umutlu, M., Bengitöz, P., & Zaremba, A. (2021). Decomposing the earnings-to-price ratio and the cross-section of international equity-index returns. Applied Economics, 53(54), 6213-6230. https://doi.org/10.1080/00036846.2021.1937499

We examine whether components of the earnings-to-price (EP) ratio can be used to extract incremental information to better estimate future returns in the cross-section of country-industry indexes. We demonstrate that the EP components, such as lagged... Read More about Decomposing the earnings-to-price ratio and the cross-section of international equity-index returns.

Return range and the cross-section of expected index returns in international stock markets (2021)
Journal Article
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

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 th... Read More about Return range and the cross-section of expected index returns in international stock markets.

To diversify or not to diversify internationally? (2021)
Journal Article
Umutlu, M., & Yargı, S. G. (2022). To diversify or not to diversify internationally?. Finance Research Letters, 44, Article 102110. https://doi.org/10.1016/j.frl.2021.102110

Using alternative measures of return correlations, we show that neither industry nor country correlations exhibit an ever-increasing trend. Instead, correlations jump during recessions with a tendency to revert in stable periods. This keeps internati... Read More about To diversify or not to diversify internationally?.