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

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,...