Campbell Harvey

Campbell Russell “Cam” Harvey (born June 23, 1958) is a Canadian economist, known for his work on asset allocation with changing risk and risk premiums and emerging markets finance. He is currently the J. Paul Sticht Professor of International Business at Duke University’s Fuqua School of Business in Durham, NC, as well as a research associate with the National Bureau of Economic Research in Cambridge, MA. He is also a research associate with the Institute of International Integration Studies at Trinity College in Dublin and a visiting researcher at University of Oxford.

Career

He earned his undergraduate degree in economics and political science from Trinity College at the University of Toronto in 1981 and his MBA from York University in Toronto in 1983. His doctoral work was carried out at the Booth School of Business at the University of Chicago. His doctoral supervisors were Eugene Fama, Merton Miller, Robert Stambaugh, Wayne Ferson, Shmuel Kandel, and Lars Hansen.

His Ph.D. thesis explored the concept that the term structure of interest rates (difference between long-term interest rates and short-term rates) could predict the US business cycle. His thesis was published in the Journal of Financial Economics in 1988.^[1] That work was subsequently expanded and published in the Financial Analysts Journal in 1989.^[2]

Time-varying risk and risk premia

Harvey’s thesis showed that information in the term structure of interest rates was linked to future growth of the economy. When short-term rates were higher than long-term rates (an inverted yield curve), recessions followed. In the time since his thesis was published, the yield curve has inverted three times—in 1989, 2000, and 2006—correctly predicting the three recessions of 1990–1991, 2001, and 2007–2009.^[3]

Given the idea that the business cycle is to some degree predictable, Harvey argued in his 1991 paper with Wayne Ferson in the Journal of Political Economy^[4] that both risk exposures and risk premia should vary predictably through the business cycle. Harvey’s research in both the 1989 Journal of Financial Economics^[2] and in the 1991 Journal of Finance^[5] documented the predictability of asset returns.

Emerging markets finance

Harvey was one of the early finance researchers to study emerging markets' equity and bond returns. His 1995 paper in the Review of Financial Studies^[6] showed that the standard approaches in finance in developed markets could not be applied to many developing countries. His 1995 Journal of Finance^[7] paper with Geert Bekaert proposed a way of dealing with the special challenges of emerging markets.

In multiple research papers authored with Bekaert, Harvey studies the relationship between the real economy and finance. His 2005 paper with Bekaert and Christian Lundblad shows opening financial markets to foreign investors reduces the cost of financing while increasing investment and GDP for developing countries.

Survey work in finance

Harvey is the founding director of the Duke University/CFO Magazine Global Business Outlook Survey.^[8] In work with John Graham, he linked the theory and practice of finance. That is, many research papers make assumptions about how managers behave. Harvey’s research asks the managers directly about these assumptions. The survey has been conducted every quarter since 1996 and has generated numerous research papers, including a paper published in the Journal of Financial Economics^[9] in 2001 that has been cited 521 times as of July 2013, according to http://webofknowledge.com.

Risk management

Harvey has been a strong proponent of modifying the view of risk. Much risk modeling focuses on volatility or standard deviation. In his 2000 paper in the Journal of Finance^[10] with Siddique, Harvey presents a two-part argument in favor of incorporating skewness. First, asset returns are not normally distributed. Second, investors like positive skew (big profits) and dislike negative skew (big losses); Harvey argues these preferences need to be taken into account in both portfolio management and risk management. Harvey also asserts estimates are imprecise and this uncertainty needs to be taken into account when making investment decisions.^[11]

Awards

Bernstein Fabozzi/Jacobs Levy Awards 2015 and 2016;^[12][13][14] James R. Vertin Award 2007 from CFA Institute,;^[15] Graham and Dodd Award 2013 from CFA Institute,;^[16] Jensen Prize 2001 and 2005 from Journal of Financial Economics,;^[17] and Batterymarch Fellowship, 1993-1994.

Editorships

Harvey served as editor of the Journal of Finance, a position he held for the 2006–2012 term. Previously, he served as an editor of the Review of Financial Studies from 1999–2005.

Financial Glossary/Blog

Harvey is the author of Harvey’s Financial Glossary which contains over 8,000 definitions and 18,000 hyperlinks. His hypertextual financial glossary is used by The New York Times, Reuters, The Washington Post, CNNMoney, Yahoo and many other sites. He recently launched both iPhone and iPad versions of the glossary. Harvey is also the author of the blog Gardenofecon.com.

Personal life

Harvey lives in Chapel Hill, NC and has three children, Cassandra (b. 1992), Catriona (b. 1995) and Campbell II (b. 1997). In his spare time, he plays piano.

Bibliography

• "The Real Term Structure and Consumption Growth," Journal of Financial Economics 22, (1988): 305–334.
• "Forecasting Economic Growth with the Bond and Stock Markets," Financial Analysts Journal September/October,(1989)
• "Time-Varying Conditional Covariances in Tests of Asset Pricing Models," Journal of Financial Economics 24, (1989)
• "Bayesian Inference in Asset Pricing Tests," with Guofu Zhou, Journal of Financial Economics 26, (1990): 221-254.
• "The Variation of Economic Risk Premiums," with Wayne Ferson, Journal of Political Economy 99, (1991): 285-315.
• "The Term Structure and World Economic Growth," Journal of Fixed Income 1, (1991): 4–17.
• "Sources of Predictability in Portfolio Returns," with Wayne Ferson, Financial Analysts Journal May/June, (1991): 49-56.
• "S&P 100 Index Option Volatility," with Robert Whaley, Journal of Finance 46, (1991): 1551–1561.
• "The World Price of Covariance Risk," Journal of Finance 46, (1991): 111–157.
• "Volatility in the Foreign Currency Futures Market," with Roger Huang, Review of Financial Studies 4, (1991): 543–569.
• "Dividends and S&P 100 Index Option Valuation," with Robert Whaley, Journal of Futures Markets 12, (1992): 123–137.
• "Seasonality and Consumption-Based Asset Pricing," with Wayne Ferson, Journal of Finance 47, (1992): 511-552.
• "Market Volatility Prediction and the Efficiency of the S&P 100 Index Option Market," with Robert Whaley, Journal of Financial Economics 31, (1992): 43–73.
• "The Term Structure Forecasts Economic Growth," Financial Analysts Journal May/June, (1993): 6–8.
• "International Asset Pricing with Alternative Distributional Specifications," with Guofu Zhou, Journal of Empirical Finance 1, (1993): 107-131.
• "The Risk and Predictability of International Equity Returns," with Wayne Ferson, Review of Financial Studies 6, (1993): 527-566.
• "Sources of Risk and Expected Returns in Global Equity Markets," with Wayne Ferson, Journal of Banking and Finance, (1994): 775-803.
• "Forecasting International Equity Correlations," with Claude Erb and Tadas Viskanta, Financial Analysts Journal November/December, (1994): 32-45.
• "The Risk Exposure of Emerging Equity Markets," World Bank Economic Review, (1995): 19–50.
• "Predictable Risk and Returns in Emerging Markets," Review of Financial Studies 8, (1995): 773–816.
• "Time-Varying World Market Integration," with Geert Bekaert, Journal of Finance 50, (1995): 403–444.
• "The Relation Between the Term Structure of Interest Rates and Canadian Economic Growth," Canadian Journal of Economics 30:1, (1997): 169–193.
• "Expected Returns and Volatility in 135 Countries," with Claude Erb and Tadas Viskanta, Journal of Portfolio Management Spring, (1996): 46-58.
• "Market Timing Ability and Volatility Implied in Investment Newsletters' Asset Allocation Recommendations," with John Graham Journal of Financial Economics 42, 3, (1996): 397–422.
• "Political Risk, Financial Risk and Economic Risk," with Claude Erb and Tadas Viskanta, Financial Analysts Journal 52:6, (1996): 28-46.
• "Emerging Equity Market Volatility," with Geert Bekaert, Journal of Financial Economics 43, 1, (1997): 29–78.
• "Demographics and International Investment," with Claude Erb and Tadas Viskanta, Financial Analysts Journal 53, 4, (1997): 14-28.
• "Fundamental Determinants of International Equity Returns: A Perspective on Conditional Asset Pricing," with Wayne Ferson, Journal of Banking and Finance 21, (1997): 1625-1665.
• "Autoregressive Conditional Skewness," with Akhtar Siddique, Journal of Financial and Quantitative Analysis 34, 4, (1999): 465-488.
• "Conditional Skewness in Asset Pricing Tests," with Akhtar Siddique, Journal of Finance 55, (2000): 1263-1295.
• "Conditioning Variables and the Cross-Section of Stock Returns," with Wayne Ferson, Journal of Finance 54, (1999): 1325-1360.
• "Efficient Online Non-Parametric Density Estimation," with Christophe G. Lambert, Scott E. Harrington, Nathan D. Bronson, and Arman Glodjo, Algorithmica 25, (1999): 37-57.
• "Economic, Financial and Fundamental Global Risk In and Out of the EMU," with Wayne Ferson, Swedish Economic Policy Review 6, (1999): 123-184.
• "Foreign Speculators and Emerging Equity Markets," with Geert Bekaert, Journal of Finance 55, (2000): 565–613.
• "The Theory and Practice of Corporate Finance: Evidence From the Field," with John Graham, Journal of Financial Economics 60, (2001): 187–243.
• "Time-Varying Conditional Skewness and the Market Risk Premium," with Akhtar Siddique, Research in Banking and Finance 1, (2000): 27-60.
• "Emerging Equity Markets and Economic Development," with Geert Bekaert and Chris Lundblad, Journal of Development Economics 66, (2001): 465-504.
• "Global Tactical Asset Allocation," with Magnus Dahlquist, Emerging Markets Quarterly (2001): 6–14.
• "The Dynamics of Emerging Market Equity Flows," with Geert Bekaert and Robin Lumsdaine, Journal of International Money and Finance 21, 3, (2002): 295-350.
• "The Impact of Federal Reserve Bank's Open Market Operations," with Roger Huang, Journal of Financial Markets 5, 2, (2002): 223–257.
• "The Specification of Conditional Expectations," Journal of Empirical Finance 8, 5, (2001): 573–638.
• "Dating the Integration of World Capital Markets,"; with Geert Bekaert and Robin Lumsdaine, Journal of Financial Economics 65, 2, (2002): 203-249.
• "Market Integration and Contagion," with Geert Bekaert and Angela Ng, Journal of Business 78, (2005): 39–70.
• "Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs," with Bernard Dumas and Pierre Ruiz, Journal of International Money and Finance 22, (2003): 777–811.
• "Emerging Markets Finance," with Geert Bekaert, Journal of Empirical Finance 10, (2003): 3–56.
• "The Effect of Capital Structure When Expected Agency Costs Are Extreme," with Karl Lins and Andrew Roper, Journal of Financial Economics 74, (2004): 3-30.
• "Does Financial Liberalization Spur Growth," with Geert Bekaert and Chris Lundblad, Journal of Financial Economics 77, (2005): 3–56.
• "Payout Policy in the 21st Century," with Alon Brav, John Graham and Roni Michaeli, Journal of Financial Economics, 77:3, (2005): 483-528.
• "The Economic Implications of Corporate Financial Reporting," with John Graham and Shiva Rajgopal, Journal of Accounting and Economics, 40, (2005):3-73.
• "Growth Volatility and Equity Market Liberalization,"; with Geert Bekaert and Chris Lundblad, Journal of International Money and Finance, (2006): 25:3, 370-403.
• "The Long-Run Equity Risk Premium," with John Graham, Finance Research Letters, 2, (2005): 185–194.
• "The Strategic and Tactical Value of Commodity Futures," with Claude Erb, Financial Analysts Journal, 62:2, March/April, 69–97.
• "Growth Opportunities and Market Integration," with Geert Bekaert, Chris Lundblad, and Stephan Siegel, Journal of Finance , 62, June 2007, 1081–1138.
• "Bayes vs. Markowitz: A Rematch," with John Liechty and Merrill Liechty, Journal of Investment Management, 2008, First Quarter, 29-45.
• "Managerial Response to the May 2003 Dividend Tax Cut," with Alon Brav, John Graham, and Roni Michaely Managerial Finance, Winter, 611-624.
• "Liquidity and Expected Returns: Lessons from Emerging Markets," with Geert Bekaert and Chris Lundblad, Review of Financial Studies, 2007, 20:6, 1783-1832.
• "Darden Conference Issue: Capital Raising in Emerging Economies," with Marc Lipson and Frank Warnock, Journal of Financial Economics, (2008) Volume 88:3, 425-429.
• "The Effect of the May 2003 Dividend Tax Cut on Corporate Dividend Policy: Empirical and Survey Evidence," with Alon Brav, John Graham, and Roni Michaely, National Tax Journal, Winter, 611-624.
• "Investor Competence, Trading Frequency, and Home Bias," with John Graham and Hai Huang, Management Science, 2009, Volume 55, No. 7, pp. 1094–1106.
• "Portfolio Selection with Higher Moments," with Merrill Liechty, John Liechty, and Peter Muller, Quantitative Finance, 2010, 10(5) 469-485.
• "The Real Effects of Financial Constraints: Evidence from a Financial Crisis," with Murillo Campello and John Graham, Journal of Financial Economics, 2010, 470-487.
• "Financial Openness and Productivity," with Geert Bekaert and Chris Lundblad, World Development, 2011, 39(1), January, 1-19.
• "Liquidity Management and Corporate Investment During a Financial Crisis," with Murillo Campello, Erasmo Giambona and John Graham, Review of Financial Studies, 2011, 24:6, June, 1944-1979.
• "What Segments Equity Markets," with Geert Bekaert, Chris Lundblad, and Stephan Siegel, Review of Financial Studies, 2011, 24:12, December, 3841-3890.
• "Access to Liquidity and Corporate Investment in Europe During the Credit Crisis of 2009," with Murillo Campello, Erasmo Giambona, and John Graham, Review of Finance, 2012, 16(2) 323-346.
• "Managerial Attitudes and Corporate Actions," with John Graham and Manju Puri, Journal of Financial Economics, 109:1, 103-121.
• "Managerial Miscalibration," with Zahi Ben-David and John Graham, Quarterly Journal of Economics, forthcoming.
• "The European Union, the Euro, and Equity Market Integration," with Geert Bekaert, Chris Lundblad, and Stephan Siegel, Journal of Financial Economics, 109:3, 583-603.
• "The Golden Dilemma," with Claude Erb, Financial Analysts Journal 69:4, July–August, 10-42.
• "Earnings Quality: Evidence from the Field," with Ilya Dichev, John Graham, and Shiva Rajgopal. Journal of Accounting and Economics November, 2013.

References

1. ↑ "Campbell R. Harvey's Dissertation" (PDF). Faculty.fuqua.duke.edu. 1986-12-12. Retrieved 2011-11-28. 
2. 1 2 . JSTOR 4479257.  Missing or empty |title= (help)
3. ↑ http://faculty.fuqua.duke.edu/~charvey/Research/Professional_Materials/Term_Structure_May_17_2011.pdf
4. ↑ . JSTOR 2937686.  Missing or empty |title= (help)
5. ↑ . JSTOR 2328872.  Missing or empty |title= (help)
6. ↑ . JSTOR 2961971.  Missing or empty |title= (help)
7. ↑ . JSTOR 2329414.  Missing or empty |title= (help)
8. ↑ "Duke/CFO Magazine Global Business Outlook Survey". Cfosurvey.org. Retrieved 2011-11-28. 
9. ↑ "The Theory and Practice of Corporate Finance: Evidence from the Field by John Graham, Campbell Harvey :: SSRN". Papers.ssrn.com. 2000-04-12. SSRN 220251 . doi:10.2139/ssrn.220251.  Missing or empty |url= (help); |access-date= requires |url= (help)
10. ↑ http://faculty.fuqua.duke.edu/~charvey/Research/Published_Papers/P56_Conditional_skewness_in.pdf
11. ↑ "Portfolio Selection with Higher Moments by Campbell Harvey, John Liechty, Merrill Liechty, Peter Mueller :: SSRN". Papers.ssrn.com. SSRN 634141 .  Missing or empty |url= (help); |access-date= requires |url= (help)
12. ↑ "The 17th Annual Bernstein Fabozzi/Jacobs Levy Awards". jacobslevy.com. 2017-06-15. 
13. ↑ "The 16th Annual Bernstein Fabozzi/Jacobs Levy Awards". jacobslevy.com. 2017-06-15. 
14. ↑ "Institutional Investor Journals Awards". iijournals.com. 2017-05-19. 
15. ↑ "James R. Vertin Award 2007". www.cfainstitute.org. CFA Institute. Retrieved 2017-06-22. 
16. ↑ "Graham and Dodd Award Winners". www.cfapubs.org. Retrieved 2017-06-22. 
17. ↑ "Winners of Jensen and Fama/DFA JFE Best Paper Prizes". Jfe.rochester.edu. 2011-02-06. Retrieved 2011-11-28. 

External links

• Duke University
• SSRN
• NBER
• Google Scholar
• Garden of Econ Blog
• Podcasts
• RSS Feed
• Journal of Finance