Abstract

http://ssrn.com/abstract=795385
 
 

References (18)



 
 

Citations (31)



 


 



The Drivers of Expected Returns in International Markets


Campbell R. Harvey


Duke University - Fuqua School of Business; National Bureau of Economic Research (NBER)

July 25, 2000


Abstract:     
This paper examines a comprehensive list of 18 different risk factors that potentially impact international equity returns. These factors include systematic risk, idiosyncratic risk, size, semi-variance, downside betas, value-at-risk, skewness, coskewness, kurtosis, political risk and country risk. I investigate whether these risk factors explain the cross-section of average returns in 47 countries. I also analyze whether the same risk factors influence developed and emerging market returns. I find evidence that an asset pricing framework that incorporates skewness has success in explaining average returns.

Number of Pages in PDF File: 27

Keywords: Global risk factors, beta, cross-section of returns, systematic risk, idiosyncratic risk, size, semi-variance, downside betas, value-at-risk, skewness, coskewness, kurtosis, political risk, country risk

JEL Classification: G12, G15, F30

working papers series


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Date posted: September 9, 2005  

Suggested Citation

Harvey, Campbell R., The Drivers of Expected Returns in International Markets (July 25, 2000). Available at SSRN: http://ssrn.com/abstract=795385 or http://dx.doi.org/10.2139/ssrn.795385

Contact Information

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
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References:  18
Citations:  31

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