TY  - JOUR
AU  - Ferson,Wayne E.
AU  - Harvey,Campbell R.
TI  - Sources of Risk and Expected Returns in Global Equity Markets
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 4622
PY  - 1994
Y2  - January 1994
UR  - http://www.nber.org/papers/w4622
L1  - http://www.nber.org/papers/w4622.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
AB  - 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.
ER  -