… As we have shown (Erb and Harvey 2005b), with some minor and technical qualifications, …
We found (Erb and Harvey 2005b) that the geometric return of an unrebalanced portfolio, on …

Given the increasingly global nature of investment portfolios, an understanding of country risk
is very important. This article addresses the economic content of five different measures of …

An important component of asset allocation decisions is the future correlation structure of
equity returns. Other studies have found that correlations change through time. Examination of …

Research on emerging equity markets has suggested a number of empirical regularities: high
volatility, low correlations with developed markets and within the emerging markets, high …

We analyze expected returns and volatility in 135 different markets. We argue that country
credit risk is a proxy for the ex-ante risk exposure of, particularly, segmented developing …

ne of the most difficult tasks in tactical global asset allocation is to assess, in a meaningful
way, the risk exposure of a national market. Traditional factor models, while reasonably …

Historically, commodity futures have had excess returns similar to those of equities. But
what should we expect in the future? The usual risk factors are unable to explain the time-series …

… Figure 2 shows one way to think about fluctuations in the real price of gold from a US perspective
(later in the article, we will consider an international perspective; see also Erb and …

… A higher score represents lower risk, for additional details see Erb, Harvey, and Viskanta [1996b]…
These results are consistent with those presented in Erb, Harvey, and Viskanta [1996b]. …

… Erb, Harvey, and Viskanta explored the global cross-sectional and time-series relationships
between country credit, inflation, and equity and fixed-income returns. 11 In general, the …