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Cited by 616

The DOI matches its Crossref record; 29 of the 29 references it cites were found in a registry or an index.

Political Risk, Economic Risk, and Financial Risk

Open access
Erb, Claude B., Harvey, Campbell R., Viskanta, Tadas E.·1996·Financial Analysts Journal
DOI 10.2469/faj.v52.n6.2038
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Abstract

Given the increasingly global nature of investment portfolios, an understanding of country risk is very important. This article addresses the economic content of five different measures of country risk: four measures from the International Country Risk Guide's political-, financial-, economic-, and composite-risk indexes and one from Institutional Investor's country credit ratings. We explored whether any of these measures contain information about future expected stock returns. We conducted time-series/cross-sectional analysis linking these risk measures to future expected returns. Finally, we analyzed the links between fundamental attributes such as book-to-price ratios within each economy and the risk measures. The results suggest that the country-risk measures are correlated with future equity returns. In addition, such measures are highly correlated with equity valuation measures. This finding provides some insight into the reason that value-oriented strategies generate high average returns.

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Cites

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Citations

Cites

Show all 29 references

Research works printed but not linked: 10

  1. Erb Claude B., 1994, Journal of Fixed Income, 4, 17, 10.3905/jfi.1994.408112 · doi:10.3905/jfi.1994.408112
  2. Erb Claude B., 1995, Journal of Portfolio Management, 21, 74, 10.3905/jpm.1995.409504 · doi:10.3905/jpm.1995.409504
  3. Ferson Wayne E., 1993, Review of Financial Studies, 6, 527, 10.1093/rfs/6.3.527 · doi:10.1093/rfs/6.3.527
  4. Ferson Wayne E., 1994, The Internationalization of Equity Markets
  5. Harlow W. Van., 1993, Political Risk and Asset Markets
  6. Sharpe William, 1964, Journal of Finance, 19, 425
  7. Solnik Bruno, 1974, Journal of Finance, 29, 48
  8. Solnik Bruno, 1977, Journal of Finance, 32, 503, 10.1111/j.1540-6261.1977.tb03288.x · doi:10.1111/j.1540-6261.1977.tb03288.x
  9. Solnik Bruno, 1983, Journal of Finance, 38, 35, 10.1111/j.1540-6261.1983.tb03624.x · doi:10.1111/j.1540-6261.1983.tb03624.x
  10. World Bank, 1993, Emerging Stock Markets Factbook

Cited by

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Metadata

Authors
Erb, C. B., Harvey, C. R., & Viskanta, T. E.
Venue
Financial Analysts Journal
Publisher
Informa UK Limited
Published
1996-11
Volume
52
Issue
6
Pages
29-46
ISSN
  • 0015-198X (ISSN-L)
  • 1938-3312
DOI
10.2469/faj.v52.n6.2038
OpenAlex
W2141145477
Cited by
616
References
29
FWCI
12.42
Type
journal article
Language
en
Open access
green

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CoChat. (2026). Citation check: Political Risk, Economic Risk, and Financial Risk. https://app.cochat.ai/papers/10.2469/faj.v52.n6.2038
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Erb, C. B., Harvey, C. R., & Viskanta, T. E. (1996). Political Risk, Economic Risk, and Financial Risk. Financial Analysts Journal. https://doi.org/10.2469/faj.v52.n6.2038

Data sources

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.