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

Adam Zaremba ()

International Review of Financial Analysis, 2019, vol. 64, issue C, 174-189

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.

Keywords: Price range; Asset pricing; Return predictability; International investments; The cross-section of returns (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:64:y:2019:i:c:p:174-189

DOI: 10.1016/j.irfa.2019.05.012

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