The DOI matches its OpenAlex record; 1 of the 1 references it cites were found in a registry or an index.
The Risk and Predictability of International Equity Returns
Abstract
We investigate predictability in national equity market returns, and its relation to global economic risks. We show how to consistently estimate the fraction of the predictable variation that is captured by an asset pricing model for the expected returns. We use a model in which conditional betas of the national equity markets depend on local information variables, while global risk premia depend on global variables. We examine single- and multiple-beta models, using monthly data for 1970 to 1989. The models capture much of the predictability for many countries. Most of this is related to time variation in the global risk premia.
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Citations
Cites
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
Sharpe, W. F. (1964) · The Journal of Finance · doi:10.1111/j.1540-6261.1964.tb02865.x · Cited by 19,441
Cited by
… and the Cross-Section of Expected Returns
Harvey, C. R., Liu, Y., & Zhu, H. (2016) · Review of Financial Studies · doi:10.1093/rfs/hhv059 · Cited by 2,119
Self-citationInitial public offerings: International insights
Loughran, T., Ritter, J. R., & Rydqvist, K. (1994) · Pacific-Basin Finance Journal · doi:10.1016/0927-538x(94)90016-7 · Cited by 1,254
Predictable Risk and Returns in Emerging Markets
Harvey, C. R. (1995) · Review of Financial Studies · doi:10.1093/rfs/8.3.773 · Cited by 982
Self-citationPolitical Risk, Economic Risk, and Financial Risk
Erb, C. B., Harvey, C. R., & Viskanta, T. E. (1996) · Financial Analysts Journal · doi:10.2469/faj.v52.n6.2038 · Cited by 616
Self-citationMarket Integration and Investment Barriers in Emerging Equity Markets
Bekaert, G. (1995) · The World Bank Economic Review · doi:10.1093/wber/9.1.75 · Cited by 601
Metadata
- Authors
- Ferson, W. E., & Harvey, C. R.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press
- Published
- 1993-07-01
- Volume
- 6
- Issue
- 3
- Pages
- 527-566
- ISSN
- 0893-9454 (ISSN-L)
- OpenAlex
- W2165559086
- Cited by
- 1,064
- References
- 1
- FWCI
- 50.91
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
