Mehmet UmutluPelin BengitözBengitöz, PelinUmutlu, Mehmet2025-10-062020105752191057-52191873-807910.1016/j.irfa.2020.1015742-s2.0-85091089854https://www.scopus.com/inward/record.uri?eid=2-s2.0-85091089854&doi=10.1016%2Fj.irfa.2020.101574&partnerID=40&md5=f2a972b89f4c81449c613608d973d4efhttps://gcris.yasar.edu.tr/handle/123456789/9146https://doi.org/10.1016/j.irfa.2020.101574This study investigates which index characteristics predict returns in the cross-section of local industry indexes in six regions. The results show that geographical origin and market capitalization of indexes critically determine the predictive ability of characteristics. We find that industry indexes of any market capitalization with high earnings-to-price ratio yield higher expected returns in the US Europe and Asia-Pacific. Recent winner (loser) portfolios in Europe have a tendency to outperform (underperform) recent loser (winner) portfolios in the near future for all groups of market capitalization. Small portfolios with high idiosyncratic volatility in Asia-Pacific earn an idiosyncratic volatility premium. Dividend yield is positively related to future returns of small European portfolios. These results are robust to the inclusion of transaction costs and control variables and have implications for portfolio managers following a global tactical asset allocation policy. © 2020 Elsevier B.V. All rights reserved.Englishinfo:eu-repo/semantics/closedAccessGlobal Tactical Asset Allocation, International Asset Pricing, International Diversification, International Portfolio ManagementInternational DiversificationGlobal Tactical Asset AllocationInternational Asset PricingInternational Portfolio ManagementArticle