Pelin BengitozMehmet UmutluBengitöz, PelinUmutlu, Mehmet2025-10-0620231470-82721556-50681479-179X10.1057/s41260-023-00313-42-s2.0-85158944926http://dx.doi.org/10.1057/s41260-023-00313-4https://gcris.yasar.edu.tr/handle/123456789/6940https://doi.org/10.1057/s41260-023-00313-4We 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.Englishinfo:eu-repo/semantics/closedAccessReturn predictability, International portfolio management, Industrial equity indexes, Cross-section of index returnsIDIOSYNCRATIC RISK, EXPECTED RETURNS, CROSS-SECTION, COUNTRY, MOMENTUM, WORLD, STRATEGIES, ALLOCATION, TIMECross-Section of Index ReturnsReturn PredictabilityInternational Portfolio ManagementIndustrial Equity IndexesArticle