We study weekly portfolio returns from 23 developed markets. We choose to study returns at a weekly frequency to avoid the problems caused by nonsyn- chronous trading around the world at higher frequencies. All returns are . dollar denominated, and we calculate excess returns by subtracting the . weekly T-bill rate, which is obtained from the Center for Research in Security Prices (CRSP) riskfree file. 1 Our selection of developed countries matches the countries currently in the Morgan Stanley Developed Country Index. Data for the United States are from Compustat and CRSP. Data for the other countries are from DataStream. The sample period is 1980:01–2005:12, yielding 1,357 weekly observations
