| A. Country Risk Guide Attributes as a Predictor of | ||||
| Institutional Investor Country Credit Ratings | ||||
| Attribute | Coefficient | T-Stat | R-Square | |
| ICRGC | 0.2120 | 7.59 | 4.99% | |
| ICRGP | 0.1244 | 5.67 | 2.81% | |
| ICRGF | 0.0956 | 5.69 | 2.84% | |
| ICRGE | 0.0833 | 4.65 | 1.88% | |
| Data: | ||||
| February 1984-September 1995 | ||||
| Semi-annual log changes in attributes | ||||
| ICRG data lagged by one month | ||||
| Countries with stock market returns | ||||
| B. Institutional Investor Country Credit Ratings as | ||||
| a Predictor of Country Risk Guide Attributes | ||||
| Attribute | Coefficient | T-Stat | R-Square | |
| ICRGC | -0.0115 | -1.13 | 0.12% | |
| ICRGP | -0.0087 | -0.62 | 0.04% | |
| ICRGF | -0.0585 | -4.09 | 1.44% | |
| ICRGE | -0.0198 | -0.99 | 0.00% | |
| Data: | ||||
| March 1984-October 1995 | ||||
| II Country Credit: semi-annual log change | ||||
| ICRG: monthly log change | ||||
| Countries with stock market returns | ||||
Last Update: 5/28/96
Name: Campbell R. Harvey