As financial markets traverse borders, the quest for predictive indicators transcends national boundaries. In December 2023, groundbreaking research by Menachem (Meni) Abudy, Guy Kaplanski, and Yevgeny Mugerman illuminates an intriguing avenue — the use of Moving Average Distance (MAD) to forecast future returns of international market-wide indices.
The essence of this study lies in exploring MAD’s efficacy in predicting returns across 92 international market-wide indices. While prior research had primarily focused on MAD as a predictor for U.S. stock returns, this study extends its scope, delving into the global landscape of market indices.