We investigate some properties of abelian return words as recently introduced by Puzynina and Zamboni. In particular, we obtain a characterization of Sturmian words with nonzero intercept in terms of the finiteness of the set of abelian return words to all prefixes. We describe this set of abelian returns for the Fibonacci word but also for the 2-automatic Thue-Morse word. We also investigate the relationship existing between abelian complexity and finiteness of the set of abelian returns to all prefixes.