Yazar
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Decomposing the earnings-to-price ratio and the cross-section of international equity-index returns
Umutlu, M.; Bengitoz, P.; Zaremba, A. (Routledge, 2021)We examine whether components of the earnings-to-price (EP) ratio can be used to extract incremental information to better estimate future returns in the cross-section of country-industry indexes. We demonstrate that the ... -
Return range and the cross-section of expected index returns in international stock markets
Umutlu, M.; Bengitoz, P. (Amer Inst Mathematical Sciences-AIMS, 2021)This study examines the cross-sectional relation between return range and future returns for the first time in literature. We show that the return range can serve as a very practical measure of total volatility instead of ... -
To diversify or not to diversify internationally?
Umutlu, M.; Yargi, S.G. (Elsevier, 2021)Using alternative measures of return correlations, we show that neither industry nor country correlations exhibit an ever-increasing trend. Instead, correlations jump during recessions with a tendency to revert in stable ...
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