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)

• Survey instrument

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: 60-months before/after, pooled OLS
• Table 6. Response of economic variables to liberalizations: 60-months before/after, heteroskedasticity and AR1 correction
• Table 6. Response of economic variables to liberalizations: 60-months before/after, pooled OLS, fixed effects
• Table 6. Response of economic variables to liberalizations: 60-months before/after, heteroskedasticity, fixed effects
• Table 6. Response of economic variables to liberalizations: 60-months before/after, heteroskedasticity and AR1 correction, fixed effects
• Table 6. Response of economic variables to liberalizations: 36-months before/after, pooled OLS
• Table 6. Response of economic variables to liberalizations: 36-months before/after, heteroskedasticity
• Table 6. Response of economic variables to liberalizations: 36-months before/after, heteroskedasticity and AR1 correction
• Table 6. Response of economic variables to liberalizations: 36-months before/after, pooled OLS, fixed effects
• Table 6. Response of economic variables to liberalizations: 36-months before/after, heteroskedasticity, fixed effects
• Table 6. Response of economic variables to liberalizations: 36-months 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: 60-months before/after, pooled OLS
• Table 7. Sweeping changes as measured by different break dates: 60-months before/after, heteroskedasticity and AR1 correction
• Table 7. Sweeping changes as measured by different break dates: 60-months before/after, pooled OLS, fixed effects
• Table 7. Sweeping changes as measured by different break dates: 60-months before/after, heteroskedasticity, fixed effects
• Table 7. Sweeping changes as measured by different break dates: 60-months before/after, heteroskedasticity and AR1 correction, fixed effects
• Table 7. Sweeping changes as measured by different break dates: 36-months before/after, pooled OLS
• Table 7. Sweeping changes as measured by different break dates: 36-months before/after, heteroskedasticity
• Table 7. Sweeping changes as measured by different break dates: 36-months before/after, heteroskedasticity and AR1 correction
• Table 7. Sweeping changes as measured by different break dates: 36-months before/after, pooled OLS, fixed effects
• Table 7. Sweeping changes as measured by different break dates: 36-months before/after, heteroskedasticity, fixed effects
• Table 7. Sweeping changes as measured by different break dates: 36-months before/after, heteroskedasticity and AR1 correction, fixed effects

Wayne Ferson/Campbell Harvey: Conditioning variables and the cross-section of stock returns (JF 1999)

• One-factor results, 25 size and book to market sorted portfolios
• One-factor results, 25 industry sorted portfolios

Campbell Harvey/Akhtar Siddique: Conditional Skewness in Asset Pricing Tests (JF 2000)

• Momentum deciles and skewness 1927-1997
• Momentum deciles and skewness 1951-1997
• Momentum deciles and skewness 1963-1997
• Momentum deciles and skewness 1965-1989

John Graham/Campbell Harvey: The Theory and Practice of Corporate Finance: Evidence from the Field (JFE 2001)

• A copy of the original survey instrument faxed to CFOs.
• Supplementary details on whether managers adjust cash flows and/or discount rates for certain types of risks - by control variables
• Review of Capital Budgeting Research
• Review of Dividend Policy Research
• Review of Capital Structure Research

Geert Bekaert/Campbell Harvey: Foreign Speculators and Emerging Equity Market Returns (JF 2000)

Appendix Lists

• List of ADRS and issuance dates
• List of Country Funds and issuance dates

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
• Cross-sectional regression of GDP growth on trade sector, post-liberalization, 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

• Appendix simulation: returns, sim_returns
• Appendix simulation: dividend yields, sim_div