NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Sources of Risk and Expected Returns in Global Equity Markets

Wayne E. Ferson, Campbell R. Harvey

NBER Working Paper No. 4622*
Issued in January 1994
NBER Program(s):   AP

This paper empirically examines multifactor asset pricing models for the returns and expected returns on eighteen national equity markets. The factors are chosen to measure global economic risks. Although previous studies do not reject the unconditional mean- variance efficiency of a world market portfolio, our evidence indicates that the tests are low in power, and the world market betas do not provide a good explanation of cross-sectional differences in average returns. Multiple beta models provide an improved explanation of the equity returns.

*Published: Journal of Banking and Finance, 1994, pp. 775-803

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