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The Drivers of Expected Returns in International Markets

27 Pages Posted: 9 Sep 2005  

Campbell R. Harvey

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

Date Written: 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.

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

Suggested Citation

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

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)

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Duke Innovation & Entrepreneurship Initiative ( email )

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