This paper documents risk‐neutral moments of returns on 29 country‐/region‐specific ETFs to provide international uncertainty proxies for as many locations as possible. Our evidence shows these ETFs can generally reflect idiosyncratic information from international markets, but the predictive abilities of risk‐neutral moments are heterogeneous among them. The evidence from panel prediction shows that the risk‐neutral standard deviation (
VOL) can positively predict, but skewness (
SKEW) and excess kurtosis (
KURT) negatively predict, the future excess returns in time‐series analysis. Moreover, results from the post‐ranking performance show that the ETFs with low
SKEW on average earn an extra 4.55% annualized monthly excess return, compared with those with high
SKEW.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.