Download or read book Benefits of International Bond Diversification written by Delroy M. Hunter and published by . This book was released on 2004 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper assesses the incremental diversification benefits to US investors from investing in international government bonds. In light of suggestions that these benefits have fallen sharply in the recent decade due to more closely synchronized business cycles, we use mean-variance spanning tests to show that currency-hedged bonds provide significant diversification benefits over the period from January 1992 to September 2002. Using a bivariate GARCH framework, we find that US bond returns have become increasingly correlated with UK and German bond returns, but have experienced declining correlations with Japanese bonds. The changing correlations are consistent with variation in the synchronization of business cycles. However, the evidence suggests that correlations have not become high enough to threaten the gains from diversification and that these gains on a currency-hedged basis are not diminished during periods of weakness or increased volatility in US or foreign bond markets. Conditional Sharpe ratios also demonstrate that risk-reward tradeoffs for each bond market vary in a predictable manner, which further underscores the potential benefits of international bond investing. Finally, we demonstrate how conditional yield betas and conditional yield beta adjusted foreign bond durations can be constructed from our model estimates.
Download or read book International Bond Diversification Strategies The Impact of Currency Country and Credit Risk written by Mats Hansson and published by . This book was released on 2008 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the incremental role of emerging market debt and corporate bonds in internationally diversified government bond portfolios. Contrary to earlier results, we find that international diversification among government bonds does not yield significant diversification benefits. This result is obtained using mean-variance spanning and intersection tests, with restrictions for short sales, both for currency unhedged and hedged international developed market government bonds. Currency hedged international corporate bonds in turn do offer some diversification benefits, and emerging market debt in particular significantly shifts the mean-variance frontier for a developed market investor. Since especially unconstrained mean-variance spanning and intersection tests can indicate significant diversification benefits, but lead to frontier portfolios with extreme weights, we also consider some ex-ante global government bond portfolio strategies. We find that passive global benchmarks such as GDP-weighed government bond portfolios perform quite well within developed countries.
Download or read book Assessing the Benefits of International Portfolio Diversification in Bonds and Stocks written by Roberto A. De Santis and published by . This book was released on 2008 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Bond Diversification written by Brynjolfur Einar Sigmarsson and published by . This book was released on 2009 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt: investors generally experience diversification benefits by adding foreign bonds to their domestic bond portfolio. Further, financial integration is found to increase within the largest developed countries. Diversification benefits are most for the last two year of the study period when short sales are allowed, where it is believed that the financial crisis has not fully reach emerging markets and small economies like Denmark.
Download or read book Benefits of International Diversification Using Equity and Bonds written by Neil C. Williams and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Diversification of Investment Portfolios written by Cheol S. Eun and published by . This book was released on 1991 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Portfolio Diversification written by Theodore Michael Johnson and published by . This book was released on 1989 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Internationally Diversified Bond Portfolios written by Richard M. Levich and published by . This book was released on 1993 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new statistical procedure is used to test for weak form efficiency in the foreign exchange futures markets. Using daily currency futures prices for the 1976-1990 period, we conclude that successive exchange rate changes have not been independent We examine the implications of this finding for two groups of investors: (1) return seeking investors considering foreign exchange as a separate asset class; (2) international portfolio investors deciding whether or not to currency hedge the foreign exchange rate exposures embedded in their non-dollar investments. Using the currency futures data and monthly data on 10-year dollar and non-dollar bonds, we conclude that active currency risk management, based on a simple application of technical trading signals, can substantially improve the risk-return opportunities for both groups of investors in comparison to passive currency strategies.
Download or read book The Performance of Global Bond Mutual Funds written by Miranda Lam and published by . This book was released on 2009 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: I study the risk and return characteristics of international bond mutual funds during 1988-1995. These actively managed funds do not demonstrate superior performance, net of expenses, against a wide range of benchmarks and I show that fund expenses are negatively related to performance. I find that returns on international bond funds are sensitive to exchange rate movements, while controlling for local currency returns on international bond indices. The funds have high exposure to the European, Canadian and U.S. bond markets and they are least sensitive to the Japanese Bond index and movements in Japanese Yen. I also find that the funds do not outperform a U.S. index, suggesting that U.S. investors did not gain diversification benefits using international bond funds.
Download or read book First Time International Bond Issuance New Opportunities and Emerging Risks written by Ms.Anastasia Guscina and published by International Monetary Fund. This book was released on 2014-07-18 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: International bond issuance by debut issuers has risen in recent years. The uptick was a result of both demand and supply factors. The search for yield and demand for portfolio diversification have resulted in demand-driven easy financing conditions. At the same time, rising financing needs for many debut issuers, coupled with reduced access to concessional financing, relatively undeveloped domestic markets, and a favorable interest rate environment have made international bonds an attractive financing alternative for many countries. As bonds issued in the international markets are typically denominated in hard currencies, have large volumes and a bullet structure, exposure to exchange rate and refinancing risk has increased. Therefore, risk-mitigating policy actions are needed to prepare for redemption, support debt sustainability, and secure adequate debt management capacity.
Download or read book International Diversification in Bond Portfolios A Historical Performance Analysis written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study touches upon the phenomenon of investors deliberately over weighting the proportion of their assets invested in their home country, called home-bias. While researchers have focused on the reasons for this decision, only a few papers focus on the actual diversification benefits that these investors would get in the case of a full diversification of their investments. Furthermore, some researchers lead to think that the recent developments of the world economy and the ongoing globalization could impact the size of these benefits. As a matter of fact, a time trend analysis on the development of home-bias costs in equity portfolios could already highlight a negative trend over the last two decades. This study focuses on corporate bond portfolios as these instruments won in relevance for companies seeking alternative financing means. This study made use of a rather recent optimization procedure based on the Conditional Value-at-Risk (also called Expected Shortfall) that can cope with instruments showing non-normal returns in contrast to other more standard procedures like the mean-variance framework or optimization based on the Value-at-Risk. The results showed that home-bias costs did not decrease over the last decade for biased investors coming from all over the world. Also, the size of the diversification benefits that investors are ignoring through their home-bias seems not to be region and country specific or related to their development level.
Download or read book Issuing International Sovereign Bonds written by Mr.Mauro Mecagni and published by International Monetary Fund. This book was released on 2014-06-04 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: This African Department Paper examines the rise in international sovereign bonds issued by African frontier economies and recommends policies for potential first-time issuers.
Download or read book International Finance Handbook written by Abraham M. George and published by . This book was released on 1983 with total page 912 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Global Portfolio Diversification for Long horizon Investors written by Luis M. Viceira and published by . This book was released on 2017 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper conducts a theoretical and empirical investigation of the risks of globally diversified portfolios of stocks and bonds and of optimal intertemporal global portfolio choice for long horizon investors in the presence of permanent cash flow shocks and transitory discount rate shocks to asset values. We show that an upward shift in cross-country one-period return correlations resulting from correlated cash flow shocks increases the risk of global portfolios and reduces investors' willingness to hold risky assets at all horizons. However, a similar upward shift in cross-country one-period return correlations resulting from correlated discount rate shocks has a much more muted effect on long-run portfolio risk and on the willingness of long horizon investors to hold risky assets. Correlated cash flow shocks imply that markets tend to move together at all horizons, thus reducing the scope for global diversification for all investors regardless of their investment horizon. By contrast, correlated discount rate shocks imply that markets tend to move together only transitorily, and long-horizon investors can still benefit from global portfolios to diversify long-term cash flow risk. We document a secular increase in the cross-country correlations of stock and government bond returns since the late 1990s. We show that for global equities this increase has been driven primarily by increased cross-country correlations of discount rate shocks, or global capital markets integration, while for bonds it has been driven by both global capital markets integration and increased cross-country correlations of inflation shocks that determine the real cash flows of nominal government bonds. Therefore, despite the significant increase in the short-run correlation of global equity markets, the benefits from global equity portfolio diversification have not declined nearly as much for long-horizon investors as they have for short-horizon investors. By contrast, increased correlation of inflation across markets implies that the benefits of global bond portfolio diversification have declined for long-only bond investors at all horizons. However, it also means that the scope for hedging liabilities using global bonds has increased, benefiting investors with long-dated liabilities. Finally, we show that the well documented negative stock-bond correlation in the U.S. since the late 1990s is a global phenomenon, suggesting that the benefits of stock-bond diversification have increased in all developed markets.
Download or read book International Bond Market Portfolio Diversification in an Emerging Financial Market written by Enrico Ghirdari and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Global Portfolio Diversification for Long horizon Investors written by Luis M. Viceira and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper conducts a theoretical and empirical investigation of global portfolio diversification for long-horizon investors in the presence of permanent cash flow shocks and transitory discount rate shocks to asset prices and returns. An increase in the cross-country correlations of cash flow shocks raises the risk of a globally diversified portfolio at all horizons. By contrast, an increase in the cross-country correlations of discount rate shocks has a muted effect on portfolio risk at long horizons and does not diminish the benefits of global portfolio diversification to long-term investors. Empirically, we find that increased correlations of discount rate shocks resulting from financial globalization appear to be the main driver of an estimated secular increase in the cross-country correlations of both stock and bond returns since the late 1990s. Increased correlations of inflation shocks are also an important source of the shift in bond correlations. By contrast, we don't find evidence of an increase in the cross-country correlations of equity cash flow news or stock market volatility shocks. Our findings imply that the benefits of global equity diversification have not declined for long horizon investors despite the secular increase in global stock correlations, while the benefits of global bond diversification have declined.
Download or read book Diversification written by Mark Armour and published by . This book was released on 1992 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
