TY  - JOUR
AU  - Ferson,Wayne E.
AU  - Harvey,Campbell R.
TI  - An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 4595
PY  - 1993
Y2  - December 1993
UR  - http://www.nber.org/papers/w4595
L1  - http://www.nber.org/papers/w4595.pdf
N1  - Author contact info:
Wayne E. Ferson
Department of Finance
and Business Economics
University of Southern California
3670 Trousdale Parkway Suite 308
Los Angeles, CA 90089-0804
Tel: 213/740-5615
Fax: 213/740-6650
E-Mail: ferson@marshall.usc.edu

Campbell R. Harvey
Duke University
Fuqua School of Business
Durham, NC 27708-0120
Tel: 919/660-7768
Fax: 919/660-8030
E-Mail: cam.harvey@duke.edu
M1  - published as Wayne Ferson, Campbell R. Harvey. "An Exploratory Investigation of the Fundamental Determinants of National Equity Market Returns," in Jeffrey A. Frankel, editor, "The Internationalization of Equity Markets " University of Chicago Press (1994)

AB  - This paper studies average and conditional expected returns in national equity markets, and their relation to a number of fundamental country attributes.  The attributes are organized into three groups. The first is relative valuation ratios, such as price-to-book-value, cash-flow, earnings and dividends.  The second group measures relative economic performance and the third measures industry structure.  We find that average returns across countries are related to the volatility of their price-to-book ratios.  Predictable variation in returns is also related to relative gross domestic product, interest rate levels and dividend-price ratios.  We explore the hypothesis that cross-sectional variation in the country attributes proxy for variation in the sensitivity of national markets to global measures of economic risks.  We test single-factor and two-factor models in which countries' conditional betas are assumed to be functions of the more important fundamental attributes.
ER  -