Campbell Harvey
Campbell Harvey | |
---|---|
Born | June 23, 1958 |
Nationality | Canada |
Institution | Duke University's Fuqua School of Business |
Field | Financial economics |
Alma mater |
University of Chicago University of Toronto |
Influences |
Eugene Fama Merton Miller |
Contributions | Time-varying Risk Premia, Separating Luck from Skill |
Awards | Fellow, American Finance Association, 2017; Bernstein Fabozzi/Jacobs Levy Awards, 2015 and 2016; James R Vertin Award from CFA Institute, 2007; Graham and Dodd Award from CFA Institute, 2007; Jensen Prize from Journal of Financial Economics, 2006 and 2002; and Batterymarch Fellowship, 1993-1994 |
Information at IDEAS / RePEc |
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 the problem of separating luck from skill in investment management. 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. He served as the 2016 president of the American Finance Association.
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 1986 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 1193 times as of March 2018, according to http://webofknowledge.com. His paper[10] with John Graham and Shiva Rajgopal in the Journal of Accounting and Economics in 2005 that shows that 78% Chief Financial Officers admit to destroying value by trying to hit quarterly earnings targets has been cited 1174 times as of March 2018 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[11] 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.[12]
Luck vs. Skill
In a paper[13] in the Review of Financial Studies in 2016, written with Yan Liu and Heqing Zhu, Harvey shows that over half of the published asset pricing factors are likely false. In a paper[14] forthcoming in the Review of Financial Studies in 2018 with Yan Liu, Harvey shows how to improve the ability to detect skilled and unskilled managers with a method designed to reduce the noise in past performance. Harvey's Presidential Address[15] to the American Finance Association, published in the Journal of Finance in 2017 challenges the way that research is conducted in empirical finance and points out some basic misunderstandings of statistics. Finally, Harvey's latest work[16] with Yan Liu provides a new way to calibrate Type I (mistakenly choosing a bad manager) and Type II (missing a good investment manager) errors.
Awards
Fellow of the American Finance Association, 2017.[17] Bernstein Fabozzi/Jacobs Levy Awards 2015 and 2016;[18][19][20] James R. Vertin Award 2007 from CFA Institute,;[21] Graham and Dodd Award 2013 from CFA Institute,;[22] Jensen Prize 2001 and 2005 from Journal of Financial Economics,;[23] and Batterymarch Fellowship, 1993-1994.
Editorships
Harvey served as editor of the Journal of Finance, a position he held for the 2006–2012 term.[24] Previously, he served as an editor of the Review of Financial Studies from 1999–2005.[25]
Teaching
Since 2014, Harvey's teaching focuses on blockchain technology. He offers a course called Innovation and Cryptoventures. The course materials are online.
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).
Bibliography (selected)
- "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.
- "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.
- "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.
- "The Risk and Predictability of International Equity Returns," with Wayne Ferson, Review of Financial Studies 6, (1993): 527-566.
- "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.
- "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.
- "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 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.
- "Liquidity and Expected Returns: Lessons from Emerging Markets," with Geert Bekaert and Chris Lundblad, Review of Financial Studies, 2007, 20:6, 1783-1832.
- "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.
- "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.
- "Political Risk Spreads," with Geert Bekaert, Christian Lundblad and Stephen Siegel, Journal of International Business Studies 45:4, (2014): 471-493.
- "Evaluating Trading Strategies," with Yan Liu, Journal of Portfolio Management, 2014, 40:5, 108-118.
- "Capital Allocation and Delegation of Decision-Making Authority Within Firms," with John Graham and Manju Puri, Journal of Financial Economics, 2015, 115:3 (March): 449-470.
- "... and the Cross-Section of Expected Returns," with Yan Liu and Heqing Zhu, Review of Financial Studies, 2016, 29:1 (January): 5-68.
- "The Misrepresentation of Earnings," with Ilia Dichev, John Graham and Shiva Rajgopal, Financial Analysts Journal, 2016, 72, (January/February), 22-35.
- "Backtesting," with Yan Liu Journal of Portfolio Management 2015, 42:1, 13-28.
- "A Corporate Beauty Contest," with John Graham and Manju Puri, Management Science, 2017, 63, 3044-3058
- "Political Risk and International Valuation," with Geert Bekaert, Christian Lundblad and Stephen Siegel, Journal of Corporate Finance, 37, 2016, 1-23.
- "Conquering Misperceptions about Commodity Futures Investing," with Claude Erb. Financial Analysts Journal, 2016, 72, July/August, 22-35
- "The Management of Political Risk," with John Graham and Erasmo Giambona. Journal of International Business Studies, 2017, 48, 523-533.
- "How to Write an Effective Referee Report and Improve the Scientific Review Process," with Jonathan Berk and David Hirshleifer. Journal of Economic Perspectives, 2017, 31:1, 231-244.
- "The Golden Constant," with Claude B. Erb. Journal Investing 26, 2017, 94-100.
- "Economic and Financial Integration in Europe," with Geert Bekaert, Christian Lundblad and Stephen Siegel. CESifo DICE Report, 2017, Vol. 15:1, 36–42.
- "Man vs. Machine: Comparing Discretionary and Systematic Hedge Fund Performance," with Sandy Rattray, Andrew Sinclair and Otto van Hemert, Journal of Portfolio Management, Summer 2017, 55-69.
- "Presidential Address: The Scientific Outlook in Financial Economics," Journal of Finance 72, 2017, 1399-1440.
- "Detecting Repeatable Performance," with Yan Liu, Review of Financial Studies, forthcoming, 2018. [P132]
- "A View Inside Corporate Risk Management," with Gordon Bodnar, Erasmo Giambona, and John Graham, Management Science, forthcoming.
- "The Theory and Practice of Corporate Risk Management: Evidence from the Field," with Erasmo Giambona, John Graham, and Gordon Bodnar, Financial Management, forthcoming.
- "Cross-Sectional Alpha Dispersion and Performance Evaluation," with Yan Liu. Working paper.
- "False (and Missed) Discoveries in Financial Economics," with Yan Liu. Working paper.
- "Corporate Culture: The Interview Evidence," with John Graham, Jillian Popadak and Shiva Rajgopal. Working paper.
- "Decreasing Returns to Scale, Fund Flows, and Performance," with Yan Liu. Working paper.
- "Corporate Culture: Evidence from the Field," with John Graham, Jillian Popadak and Shiva Rajgopal Working paper.
- "Lucky Factors," with Yan Liu. Working paper.
References
- ↑ "Campbell R. Harvey's Dissertation" (PDF). Faculty.fuqua.duke.edu. 1986-12-12. Retrieved 2011-11-28.
- 1 2 . JSTOR 4479257. Missing or empty
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(help) - ↑ http://faculty.fuqua.duke.edu/~charvey/Research/Professional_Materials/Term_Structure_May_17_2011.pdf
- ↑ . JSTOR 2937686. Missing or empty
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(help) - ↑ . JSTOR 2328872. Missing or empty
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(help) - ↑ . JSTOR 2961971. Missing or empty
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(help) - ↑ . JSTOR 2329414. Missing or empty
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(help) - ↑ "Duke/CFO Magazine Global Business Outlook Survey". Cfosurvey.org. Retrieved 2011-11-28.
- ↑ "The Theory and Practice of Corporate Finance: Evidence from the Field by John Graham, Campbell Harvey :: SSRN". Papers.ssrn.com. 2000-04-12. doi:10.2139/ssrn.220251. SSRN 220251. Missing or empty
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(help) - ↑ Graham, John R.; Harvey, Campbell R.; Rajgopal, Shivaram (2005-01-11). "The Economic Implications of Corporate Financial Reporting". Rochester, NY.
- ↑ http://faculty.fuqua.duke.edu/~charvey/Research/Published_Papers/P56_Conditional_skewness_in.pdf
- ↑ "Portfolio Selection with Higher Moments by Campbell Harvey, John Liechty, Merrill Liechty, Peter Mueller :: SSRN". Papers.ssrn.com. SSRN 634141. Missing or empty
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(help) - ↑ Harvey, Campbell R.; Liu, Yan; Zhu, Caroline (2015-02-03). "…and the Cross-Section of Expected Returns". Rochester, NY.
- ↑ Harvey, Campbell R.; Liu, Yan (2018-01-21). "Detecting Repeatable Performance". Rochester, NY.
- ↑ "Watch the 2017 Presidential Address - American Finance Association". afajof.org. Retrieved 2018-04-23.
- ↑ Harvey, Campbell R.; Liu, Yan (2018-03-25). "False (and Missed) Discoveries in Financial Economics". Rochester, NY.
- ↑ "Fellows - American Finance Association". afajof.org. Retrieved 2018-04-23.
- ↑ "The 17th Annual Bernstein Fabozzi/Jacobs Levy Awards". jacobslevy.com. 2017-06-15.
- ↑ "The 16th Annual Bernstein Fabozzi/Jacobs Levy Awards". jacobslevy.com. 2017-06-15.
- ↑ "Institutional Investor Journals Awards". iijournals.com. 2017-05-19.
- ↑ "James R. Vertin Award 2007". www.cfainstitute.org. CFA Institute. Retrieved 2017-06-22.
- ↑ "Graham and Dodd Award Winners". www.cfapubs.org. Retrieved 2017-06-22.
- ↑ "Winners of Jensen and Fama/DFA JFE Best Paper Prizes". Jfe.rochester.edu. 2011-02-06. Retrieved 2011-11-28.
- ↑ "Current and Past Editors - American Finance Association". afajof.org. Retrieved 2018-04-23.
- ↑ "Editorial Team – The Review of Financial Studies". rfssfs.org. Retrieved 2018-04-23.