Abstract

http://ssrn.com/abstract=152889
 
 

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Economic, Financial and Fundamental Global Risk in and Out of the Emu


Wayne E. Ferson


University of Southern California; National Bureau of Economic Research (NBER)

Campbell R. Harvey


Duke University - Fuqua School of Business; National Bureau of Economic Research (NBER); Duke Innovation & Entrepreneurship Initiative

February 1999

Fuqua School of Business Working Paper No. 9901

Abstract:     
We explore the different factors that drive expected returns in world markets. Our research offers two innovations. First, the introduction of the Euro currency unit greatly reduces the complexity of including foreign exchange risk in asset pricing models. We use a synthetic Euro excess return along with a Yen excess return to assess country equity sensitivities to currency risk factors. Second, when combining the currency factors with a group of economic factors, we measure the incremental information in the factor proposed in Fama and French (1998). We find that a global price-to-book factor offers little additional explanatory power over and above a model that includes economic risk factors.

Number of Pages in PDF File: 52

JEL Classification: F3, G0, G1


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Date posted: April 28, 1999  

Suggested Citation

Ferson, Wayne E. and Harvey, Campbell R., Economic, Financial and Fundamental Global Risk in and Out of the Emu (February 1999). Fuqua School of Business Working Paper No. 9901. Available at SSRN: http://ssrn.com/abstract=152889 or http://dx.doi.org/10.2139/ssrn.152889

Contact Information

Wayne E. Ferson
University of Southern California ( email )
Los Angeles, CA 90089
United States
HOME PAGE: http://www-rcf.usc.edu/~ferson/
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Campbell R. Harvey (Contact Author)
Duke University - Fuqua School of Business ( email )
Box 90120
Durham, NC 27708-0120
United States
919-660-7768 (Phone)
919-660-8030 (Fax)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Duke Innovation & Entrepreneurship Initiative ( email )
215 Morris St., Suite 300
Durham, NC 27701
United States

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