Table11:Political Risk, Economic Risk and Financial Risk

Fundamental Variables and Risk Attributes
Fundamental II CCR R-Sq ICRGC R-Sq ICRGP R-Sq ICRGF R-Sq ICRGE R-Sq R-Sq
Sample Regression Variable T-Stat FER2 T-Stat FER2 T-Stat FER2 T-Stat FER2 T-Stat FER2 FER2
Full Univariate Book/Price -0.0066 5.00% -0.0126 5.71% -0.0048 0.83% -0.0229 8.37% -0.0525 18.46%
-6.50 31.47% -6.95 36.41% -2.74 31.57% -8.51 37.18% -13.34 37.99%
Dividend/Price -0.0169 3.15% -0.0448 7.06% -0.0351 4.95% -0.0684 7.26% -0.1034 6.89%
-5.14 52.36% -7.77 55.10% -6.46 52.24% -7.89 55.74% -7.67 54.16%
Earnings/Price -0.0009 6.18% -0.0019 8.34% -0.0013 4.33% -0.0030 9.26% -0.0054 12.32%
-7.24 12.41% -8.49 16.81% -6.03 13.18% -8.99 16.71% -10.53 20.06%
Full Multivariate Book/Price 0.0042 0.0191 -0.0254 -0.0656 25.14%
2.07 6.36 -4.48 -10.08 40.27%
Dividend/Price 0.0309 -0.0204 -0.0660 -0.0921 9.82%
4.35 -1.90 -3.30 -4.02 56.64%
Earnings/Price 0.0005 0.0005 -0.0023 -0.0050 13.14%
1.86 1.15 -3.02 -5.66 20.92%
Developed Univariate Book/Price -0.0099 11.41% -0.0155 9.17% -0.0058 2.09% -0.0270 12.25% -0.0299 10.40%
-0.75 40.73% -6.63 40.34% -3.18 38.21% -7.77 40.88% -7.09 39.87%
Dividend/Price -0.0507 7.61% -0.1097 11.82% -0.0602 6.21% -0.1134 5.40% -0.2093 13.10%
-6.00 67.11% -7.62 67.32% -5.40 66.95% -5.02 68.09% -8.07 69.50%
Earnings/Price -0.0002 0.11% -0.0001 -0.21% 0.0003 0.15% -0.0006 0.09% -0.0019 1.93%
-1.22 38.40% -0.36 33.16% 1.28 39.06% -1.17 30.61% -3.06 35.36%
Developed Multivariate Book/Price -0.0047 0.0038 -0.0164 -0.0208 18.16%
-2.47 1.89 -3.55 -4.71 44.43%
Dividend/Price -0.0163 -0.0229 -0.0201 -0.1643 15.60%
-1.36 -1.80 -0.68 -5.86 71.72%
Earnings/Price -0.0002 0.0008 -0.0004 -0.0021 3.04%
-0.80 2.79 -0.55 -3.14 46.95%
Emerging Univariate Book/Price -0.0159 6.75% -0.0220 6.30% -0.0013 -0.26% -0.0348 9.23% -0.0775 23.56%
-5.18 29.16% -4.99 34.86% -0.30 29.91% -6.10 35.81% -10.52 38.34%
Dividend/Price -0.0562 10.80% -0.1018 17.50% -0.0888 13.33% -0.1298 16.36% -0.1353 8.86%
-6.64 45.98% -8.75 49.67% -7.47 47.21% -8.41 50.17% 0.09 47.24%
Earnings/Price -0.0018 5.91% -0.0032 8.83% -0.0019 3.06% -0.0042 8.84% -0.0069 12.19%
-4.83 8.01% -5.96 13.47% -3.50 9.81% -5.96 12.60% -7.10 16.01%
Emerging Multivariate Book/Price 0.0105 0.0248 -0.0282 -0.0876 28.68%
2.39 4.19 -2.72 -7.12 39.82%
Dividend/Price -0.0136 -0.0388 -0.0679 -0.0125 17.21%
-1.03 -2.16 -2.16 -0.33 50.39%
Earnings/Price 0.0006 -0.0001 -0.0016 -0.0064 12.23%
1.05 -0.18 -1.16 -3.79 15.78%

Last Update: 5/28/96

Name: Campbell R. Harvey

Email: charvey@mail.duke.edu