Whatever the controversy about measuring the mean return in the US, it is much more difficult to obtain the mean return in relatively new markets or markets that have undergone big institutional changes recently.

In many markets, we are concerned with sovereign risk or country risk, the risk of loss of investment value due to failure of a government or nationalization of a firm. Relative stability in the world has made this concern somewhat less important than in the past, although it frequently happens that a country's economic problems are reflected in its equity markets, as during the Asia crisis.