Table10: Political Risk, Economic Risk and Financial Risk

Cross-Sectional Time-Series Analysis of Risk Attributes
A. Lagged Level Regressions
II CCR R-Sq ICRGC R-Sq ICRGP R-Sq ICRGF R-Sq ICRGE R-Sq R-Sq
Sample Regression T-Stat FER2 T-Stat FER2 T-Stat FER2 T-Stat FER2 T-Stat FER2 FER2
Full Univariate -0.0011 0.52% -0.0023 0.75% -0.0017 0.42% -0.0043 1.21% -0.0041 0.39%
-2.26 0.47% -2.63 -1.25% -2.08 -1.75% -3.26 -0.22% -2.02 -2.02%
Full Multivariate 0.0003 0.0016 -0.0082 0.0024 1.10%
0.25 0.96 -2.68 0.68 1.79%
Developed Univariate -0.0007 -0.13% -0.0019 0.01% -0.0007 -0.17% -0.0107 3.22% 0.0071 0.83%
-0.68 -1.78% -1.01 -2.82% -0.53 -3.19% -3.89 3.08% 2.13 -1.96%
Developed Multivariate 0.0027 0.0000 -0.0184 0.0109 6.30%
1.80 -0.03 -4.96 3.07 3.90%
Emerging Univariate -0.0009 -0.15% -0.0023 0.09% -0.0011 -0.19% -0.0035 0.21% -0.0050 0.24%
-0.68 0.43% -1.14 -1.71% -0.56 -2.03% -1.36 -1.47% -1.36 -2.33%
Emerging Multivariate 0.0015 0.0011 -0.0046 -0.0042 -0.36%
0.67 0.34 -0.71 -0.78 0.33%
B. Lagged Change in Level Regressions
II CCR R-Sq ICRGC R-Sq ICRGP R-Sq ICRGF R-Sq ICRGE R-Sq R-Sq
Sample Regression T-Stat FER2 T-Stat FER2 T-Stat FER2 T-Stat FER2 T-Stat FER2 FER2
Full Univariate -0.0072 -0.10% -0.0046 -0.03% -0.0076 0.32% -0.0015 -0.12% 0.0071 0.00%
-0.45 -0.89 -1.87 -0.22 1.00
Full Multivariate -0.0037 -0.0096 0.0050 0.0092 0.22%
-0.40 -2.09 0.66 1.28 -1.57%
Developed Univariate 0.0072 -0.11% -0.0014 -0.22% -0.0012 -0.22% -0.0181 0.58% 0.0051 -0.12%
0.74 -3.10% -0.22 -3.20% -0.29 -3.19% -1.86 -2.28% 0.70 -2.99%
Developed Multivariate 0.0097 -0.0032 -0.0188 0.0049 0.19%
0.99 -0.07 -1.88 0.67 -1.57%
Emerging Univariate -0.0147 -0.02% -0.0089 0.07% -0.0135 0.87% -0.0008 -0.28% -0.0019 -0.19%
-0.97 -2.36% -1.12 -1.84% -2.03 -1.32% -0.08 -2.48% 0.01 -2.64%
Emerging Multivariate -0.0147 -0.0185 0.0123 0.0097 0.82%
-0.97 -2.36 1.06 0.83 1.32%

Last Update: 5/28/96

Name: Campbell R. Harvey

Email: charvey@mail.duke.edu