Price range and the cross-section of expected country and industry returns

Adam Zaremba

Abstract

We are the first to employ the price range (the difference between previous maximum and minimum prices) as a measure of country and industry risk. Having examined 51 country and 887 industry indices for the years 1974–2018, we demonstrate a strong positive relationship between price range and future returns. This effect is not explained by well-established return predictors that include value, size, momentum, reversal, skewness, and seasonality, and this effect visibly subsumes the traditional measures of volatility. The equal-weighted quartile of the countries (industries) with the highest price range outperform those with the lowest price range by 0.85% (1.07%) per month. The results are robust to different estimation methods, holding periods, the influence of trading costs, and subsample and subperiod analysis.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
Journal seriesInternational Review of Financial Analysis, ISSN 1057-5219, e-ISSN 1873-8079, (N/A 100 pkt)
Issue year2019
Vol64
Pages174-189
Publication size in sheets0.75
Keywords in Polishrozstęp cen, zakres cen, wycena aktywów, prognozowanie stóp zwrotu, inwestycje międzynarodowe, przekrój stóp zwrotu
Keywords in EnglishPrice range, Asset pricing, Return predictability, International investments, The cross-section of returns
ASJC Classification2002 Economics and Econometrics; 2003 Finance
DOIDOI:10.1016/j.irfa.2019.05.012
URL https://www.sciencedirect.com/science/article/abs/pii/S1057521918305751
Languageen angielski
Score (nominal)100
Score sourcejournalList
ScoreMinisterial score = 100.0, 08-04-2020, ArticleFromJournal
Publication indicators WoS Citations = 0; Scopus SNIP (Source Normalised Impact per Paper): 2018 = 1.193; WoS Impact Factor: 2017 = 1.566 (2) - 2017=1.729 (5)
Citation count*1 (2020-09-10)
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* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
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