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As profiled in Barron's, this dataset was constructed by Campbell R. Harvey of Duke University's Fuqua School of Business and includes monthly composite, political, economic and financial risk ratings from the International Country Risk Guide. Harvey's studies determined the excellent predictive value of ICRG risk measures in forecasting equity returns for international portfolio investment. This dataset includes only the 120 countries used in the original study for the period January 1984 through September 1995.
To add to this dataset, purchase a subscription to ICRG Table 2B or purchase its component data for selected countries and years using the "CountryData Online" database on this website.
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