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Historical Perspective on International Equity Returns Campbell R. Harvey Duke University, Durham, NC USA National Bureau of Economic Research, Cambridge.

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Presentation on theme: "Historical Perspective on International Equity Returns Campbell R. Harvey Duke University, Durham, NC USA National Bureau of Economic Research, Cambridge."— Presentation transcript:

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@duke.edu +1 919.660.7768 office || +1 919.271.8156 mobile http://www.duke.edu/~charvey

2 Harvey: International Historical Perspective

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5 PeriodsCanada France Germany Italy Japan U.K. U.S. MSCI Canada TR4071.000.510.420.340.350.540.74 MSCI France TR4070.511.000.640.500.350.540.54 MSCI Germany TR4070.420.641.000.450.340.440.50 MSCI Italy TR4070.340.500.451.000.340.370.32 MSCI Japan TR4070.350.350.340.341.000.330.35 MSCI U.K. TR4070.540.540.440.370.331.000.59 MSCI U.S. TR4070.740.540.500.320.350.591.00 Harvey: International Historical Perspective

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11 At 5% standard deviation Harvey: International Historical Perspective

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