Campbell Harvey
Encyclopedia
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.
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. That work was subsequently expanded and published in the Financial Analysts Journal in 1989.
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 1990-91, 2001, and 2007-2009.
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 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 and in the 1991 Journal of Finance 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 showed that the standard approaches in finance in developed markets could not be applied to many developing countries. His 1995 Journal of Finance 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. 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 in 2001 that has been cited 367 times as of November 2011, according to http://webowknowledge.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 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.
, a position he holds for the 2006-2012 term. Previously, he served as an editor of the Review of Financial Studies
from 1999-2005.
Career
He earned his undergraduate degree in economics and political science from Trinity College at the University of TorontoUniversity of Toronto
The University of Toronto is a public research university in Toronto, Ontario, Canada, situated on the grounds that surround Queen's Park. It was founded by royal charter in 1827 as King's College, the first institution of higher learning in Upper Canada...
in 1981 and his MBA from York University
York University
York University is a public research university in Toronto, Ontario, Canada. It is Canada's third-largest university, Ontario's second-largest graduate school, and Canada's leading interdisciplinary university....
in Toronto in 1983. His doctoral work was carried out at the Booth School of Business
Booth School of Business
The University of Chicago Booth School of Business is a graduate business school located in Chicago, Illinois, at the University of Chicago. Formerly known as the University of Chicago Graduate School of Business, Chicago Booth is the second oldest business school in the U.S., the first such school...
at the University of Chicago
University of Chicago
The University of Chicago is a private research university in Chicago, Illinois, USA. It was founded by the American Baptist Education Society with a donation from oil magnate and philanthropist John D. Rockefeller and incorporated in 1890...
. His doctoral supervisors were Eugene Fama
Eugene Fama
Eugene Francis "Gene" Fama is an American economist, known for his work on portfolio theory and asset pricing, both theoretical and empirical. He is currently Robert R...
, 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
Journal of Financial Economics
The Journal of Financial Economics or JFE, is a peer-reviewed academic journal covering the theory of financial economics. Together with the Journal of Finance and the Review of Financial Studies, it is considered to be among the top three finance journal. The editor is Bill Schwert...
in 1988. That work was subsequently expanded and published in the Financial Analysts Journal in 1989.
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 1990-91, 2001, and 2007-2009.
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 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 and in the 1991 Journal of Finance 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 showed that the standard approaches in finance in developed markets could not be applied to many developing countries. His 1995 Journal of Finance 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. In work with John Graham
John Graham
- Politics and history :*John de Graham , Scottish soldier*John Graham, Earl of Menteith*John Graham, 3rd Earl of Montrose , Scottish peer*John Graham, 4th Earl of Montrose, , Scottish peer...
, 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 in 2001 that has been cited 367 times as of November 2011, according to http://webowknowledge.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 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.
Awards
James R. Vertin Award from CFA Institute, 2007; Graham and Dodd Award from CFA Institute, 2007; Jensen Prize from Journal of Financial Economics, 2006, 2002; and Batterymarch Fellowship, 1993-1994.Editorships
Harvey serves as editor of the Journal of FinanceJournal of Finance
The Journal of Finance is a peer-reviewed academic journal published by Wiley-Blackwell on behalf of the American Finance Association. It was established in 1946. Its current editors are Campbell R. Harvey and John R. Graham...
, a position he holds for the 2006-2012 term. Previously, he served as an editor of the Review of Financial Studies
Review of Financial Studies
The Review of Financial Studies is an academic journal published by Oxford University Press on behalf of the Society for Financial Studies. It was established following discussions at the 1986 Western Finance Association meetings, and the first issue was published in 1988...
from 1999-2005.