Pelin BengitözMehmet Umutlu2025-10-06202314708272, 1479179X1556-506810.1057/s41260-023-00313-4https://www.scopus.com/inward/record.uri?eid=2-s2.0-85158944926&doi=10.1057%2Fs41260-023-00313-4&partnerID=40&md5=7c831fad4d3a6848774e17a734e16307https://gcris.yasar.edu.tr/handle/123456789/8410We 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. © 2023 Elsevier B.V. All rights reserved.EnglishCross-section Of Index Returns, Industrial Equity Indexes, International Portfolio Management, Return PredictabilityArticle