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 …

… Erb, Harvey, and Viskanta [1996b] examine the information in all four of the ICRG risk …
Erb, Harvey, and Viskanta (1995b] examine the interaction of inflation and asset returns in …

… 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 …

Population demographics affect both the time-series and the cross-section of expected
asset returns. A number of theories link the average age of a population to expected market …

Is there information in the commonly used indicators of country risk for expected global fixed
income returns and volatility? We examine the information content in publicly available …

TADAS E. VISKANTA is a vice president at First Chicago NBD Investment Management
Company in Chicago (IL 60670). merging market bonds have attracted consid-erable interest for …