Price range and the cross-section of expected country and industry returns
AbstractWe 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.
|Journal series||International Review of Financial Analysis, ISSN 1057-5219, e-ISSN 1873-8079, (N/A 100 pkt)|
|Publication size in sheets||0.75|
|Keywords in Polish||rozstęp cen, zakres cen, wycena aktywów, prognozowanie stóp zwrotu, inwestycje międzynarodowe, przekrój stóp zwrotu|
|Keywords in English||Price range, Asset pricing, Return predictability, International investments, The cross-section of returns|
|Score||= 100.0, 08-04-2020, ArticleFromJournal|
|Publication indicators||= 0; : 2018 = 1.193; : 2017 = 1.566 (2) - 2017=1.729 (5)|
|Citation count*||1 (2020-07-09)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.