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Historical Perspective on International Equity Returns

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Historical Perspective. on International Equity Returns. Campbell R. Harvey ... Harvey: International Historical Perspective. US standard deviation ... – PowerPoint PPT presentation

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Title: Historical Perspective on International Equity Returns


1
Historical Perspective on International Equity
Returns
  • Campbell R. Harvey
  • Duke University, Durham, NC USA
  • National Bureau of Economic Research, Cambridge
    MA USA
  • Cam.harvey_at_duke.edu
  • 1 919.660.7768 office 1 919.271.8156 mobile
  • http//www.duke.edu/charvey

2
Harvey International Historical Perspective
Periods Canada France Germany
Italy Japan U.K.
U.S. MSCI Canada TR 407 1.00 0.51 0.42 0.34 0.35
0.54 0.74 MSCI France TR 407 0.51 1.00 0.64 0.50 0
.35 0.54 0.54 MSCI Germany TR 407 0.42 0.64 1.00 0
.45 0.34 0.44 0.50 MSCI Italy TR 407 0.34 0.50 0.4
5 1.00 0.34 0.37 0.32 MSCI Japan
TR 407 0.35 0.35 0.34 0.34 1.00 0.33 0.35 MSCI
U.K. TR 407 0.54 0.54 0.44 0.37 0.33 1.00 0.59 MSC
I U.S. TR 407 0.74 0.54 0.50 0.32 0.35 0.59 1.00
3
Harvey International Historical Perspective
4
Harvey International Historical Perspective
5
Harvey International Historical Perspective
6
Harvey International Historical Perspective
7
Harvey International Historical Perspective
8
Harvey International Historical Perspective
9
Harvey International Historical Perspective
10
Harvey International Historical Perspective
11
Harvey International Historical Perspective
12
Harvey International Historical Perspective
Canada standard deviation
13
Harvey International Historical Perspective
US standard deviation
14
Harvey International Historical Perspective
Japan standard deviation
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