Supplementary Research Results
Campbell R. Harvey
Research Paper Index
The goal of this page is to present results that are not included in both published and
working paper versions of my research:
John Graham/Campbell Harvey: Expectations of equity risk premia, volatility and asymmetry from a corporate finance perspective (Working paper)
Geert Bekaert/Campbell Harvey/Robin Lumsdaine:
Dating the Integration of World Equity Markets (JFE, forthcoming)

Figure 1. Structural break analysis. Each graph details the break analysis for a particular attribute for many different countries. 10 graphs.

Figure 2. Structural break analysis. Each graph details the break analysis for a particular country across many different attributes. 20 graphs.

Table 6. Response of economic variables to liberalizations: 60months before/after, pooled OLS

Table 6. Response of economic variables to liberalizations: 60months before/after, heteroskedasticity and AR1 correction

Table 6. Response of economic variables to liberalizations: 60months before/after, pooled OLS, fixed effects

Table 6. Response of economic variables to liberalizations: 60months before/after, heteroskedasticity, fixed effects

Table 6. Response of economic variables to liberalizations: 60months before/after, heteroskedasticity and AR1 correction, fixed effects

Table 6. Response of economic variables to liberalizations: 36months before/after, pooled OLS

Table 6. Response of economic variables to liberalizations: 36months before/after, heteroskedasticity

Table 6. Response of economic variables to liberalizations: 36months before/after, heteroskedasticity and AR1 correction

Table 6. Response of economic variables to liberalizations: 36months before/after, pooled OLS, fixed effects

Table 6. Response of economic variables to liberalizations: 36months before/after, heteroskedasticity, fixed effects

Table 6. Response of economic variables to liberalizations: 36months before/after, heteroskedasticity and AR1 correction, fixed effects

Table 6. Response of alternative betas estimates to liberalizations

Table 7. Sweeping changes as measured by different break dates: 60months before/after, pooled OLS

Table 7. Sweeping changes as measured by different break dates: 60months before/after, heteroskedasticity and AR1 correction

Table 7. Sweeping changes as measured by different break dates: 60months before/after, pooled OLS, fixed effects

Table 7. Sweeping changes as measured by different break dates: 60months before/after, heteroskedasticity, fixed effects

Table 7. Sweeping changes as measured by different break dates: 60months before/after, heteroskedasticity and AR1 correction, fixed effects

Table 7. Sweeping changes as measured by different break dates: 36months before/after, pooled OLS

Table 7. Sweeping changes as measured by different break dates: 36months before/after, heteroskedasticity

Table 7. Sweeping changes as measured by different break dates: 36months before/after, heteroskedasticity and AR1 correction

Table 7. Sweeping changes as measured by different break dates: 36months before/after, pooled OLS, fixed effects

Table 7. Sweeping changes as measured by different break dates: 36months before/after, heteroskedasticity, fixed effects

Table 7. Sweeping changes as measured by different break dates: 36months before/after, heteroskedasticity and AR1 correction, fixed effects
Wayne Ferson/Campbell Harvey:
Conditioning variables and the crosssection of stock returns (JF 1999)
Campbell Harvey/Akhtar Siddique:
Conditional Skewness in Asset Pricing Tests (JF 2000)
John Graham/Campbell Harvey:
The Theory and Practice of Corporate Finance: Evidence from the Field (JFE 2001)
Geert Bekaert/Campbell Harvey:
Foreign Speculators and Emerging Equity Market Returns (JF 2000)
Appendix Lists
Unpublished Tables
 Results of grid search for lambda parameter,
optimal_lambda.htm
 Relationship between concentration and privatizations,
priv_conc.htm
 Structural regression using dividend yields,
div_struct.htm
 Returns regression with control variables,
ret_control.htm
 Returns regression using different windows for indicator variables,
ret_window.htm
 Relation between future GDP growth and control variables,
GDP_XMGDP.htm
 Crosssectional regression of GDP growth on trade sector, postliberalization,
GDP_XMGDP_Post.htm
 Expected economic growth and the International Country Risk Guide's Economic Rating,
GDP_ICRGE.htm
 Dividend yields and the ICRGE rating,
div_ICRGE.htm
 GDP growth and liberalizations
GDP_lib.htm
 Volatility regressions with control variables,
vol_control.htm
 Correlation regressions with control variables,
corr_control.htm
 Beta regressions with control variables,
beta_control.htm
Unpublished Figures