Historical Perspective on International Equity Returns

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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

Harvey: International Historical Perspective

Harvey: International Historical Perspective

Harvey: International Historical Perspective

Harvey: International Historical Perspective

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 0.45 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 MSCI U.S. TR 407 0.74 0.54 0.50 0.32 0.35 0.59 1.00

Harvey: International Historical Perspective

Harvey: International Historical Perspective

Harvey: International Historical Perspective

Harvey: International Historical Perspective

Harvey: International Historical Perspective At 5% standard deviation

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