Economic, Financial, and Fundamental Global Risk In and Out of the EMUWayne E. Ferson, Campbell R. Harvey
NBER Working Paper No. 6967 We explore the different factors that drive expected returns in world markets. Our research offers two innovations. First, the introduction of the Euro currency unit greatly reduces the complexity of including foreign exchange risk in asset pricing models. We use a synthetic Euro excess return along with a Yen excess return to assess country equity sensitivities to currency risk factors. Second, when combining the currency factors with a group of economic factors, we measure the incremental information in the factor proposed in Fama and French (1998). We find that a global price-to-book factor offers little additional explanatory power over and above a model that includes economic risk factors.
This paper is available as PDF (555 K) or via email.
Machine-readable bibliographic record - MARC, RIS, BibTeX Document Object Identifier (DOI): 10.3386/w6967 Published: Swedish Economic Policy Review, Vol. 6 (1999): 123-184. Users who downloaded this paper also downloaded these: |
Contact Us
People
James Poterba, presidentJames Poterba is President of the National Bureau of Economic Research. He is also the Mitsui Professor of Economics at M.I.T. |
NBER ResearchersResearchers by NBER ProgramComplete NBER Research Family List |
 |
Other People LinksStaffBoard of Directors |