Perfecting Security Interests in Deposit Accounts, Perfecting Security Interests in Deposit Accounts, Securities Accounts and Other Investment Property
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 U.S.
dollar denominated, and we calculate excess returns by subtracting the U.S.
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....
