Download or read book Risk Exposures and International Diversification written by Maosen Zhong and published by . This book was released on 2005 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the newly developed international diversification instruments - iShares traded on the American Stock Exchange. Given the fact that iShares can be created and redeemed at will, the daily price of an iShare is expected to be equal to the daily portfolio value of the underlying assets in the home-country market. Therefore, theoretically, iShare pricing should be influenced by the risk from the iShare's home-country market and not the risk from the U.S. market, per se. We evaluate the risk exposure of iShare prices to the U.S. market (non-fundamental effect) as well as the home-country market (the fundamental effect). We find that most iShare returns are significantly influenced by and sensitive to the U.S. market risk. Moreover, the U.S. market appears to be the key permanent driving factor and the home-country market is a pronounced transitory driving force for iShare prices. These findings indicate the presence of limits of international arbitrage for iShares. As a result, the international diversification benefits of iShares become questionable.

Download or read book International Diversification and Global Credit Risk written by Karin Martin-Bujack and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit risk has recently been identified as a cause of declining international diversification capacity; in this paper we offer an alternative methodology to create an equity portfolio with exposure to global credit risk and controlled market risk. Following the factor decomposition methodology, we reduce a sample of the biggest international companies to a portfolio composed by just 11 stocks, representing different risk factors, which show high diversification in terms of systematic risk and a risk-return binomial comparable to benchmark international equity indices.

Download or read book Global Diversification and Asset Pricing written by Kennedy K. Mbekeani and published by . This book was released on 1997 with total page 530 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book International Diversification Under Estimation Risk written by Cheol S. Eun and published by . This book was released on 1986 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 Country Risk Assessment written by Michel Henry Bouchet and published by John Wiley & Sons. This book was released on 2003-10-31 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: One of the few books on the subject, Country Risk Assessment combines the theoretical and practical tools for managing international country risk exposure. - Offers a comprehensive discussion of the specific mechanisms that apply to country risk assessment. - Discusses various techniques associated with global investment strategy. - Presents and analyses the various sources of country risk. - Provides an in depth coverage of information sources and country risk service providers. - Gives techniques for forecasting country financial crises. - Includes practical examples and case studies. - Provides a comprehensive review of all existing methods including the techniques on the cutting-edge Market Based Approaches such as KMV, CreditMetrics, CountryMetrics and CreditRisk+.

Download or read book The Association Between the Level of International Diversification and Risk written by Stephen R. Goldberg and published by . This book was released on 1993 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book International diversification written by Arun Madhusudan Chandrachud and published by . This book was released on 1987 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Disentangling the Impacts of Industrial and Global Diversification on Firm Risk written by Mohammad Jafarinejad and published by . This book was released on 2018 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the impact of corporate diversification on firm risk exposure from 1998 to 2016. We find that both global and industrial diversification mitigate idiosyncratic and world market risk while having a negligible impact on U.S. market risk, but the effects vary before, during, and after the financial crisis of 2007-2009. Before the crisis, only global diversification mitigates idiosyncratic risk, but it increases firms' exposure to world market risk. During the crisis, industrial diversification increases idiosyncratic risk, but both types of diversification increase exposure to U.S. market risk. After the crisis, both types of diversification increase firms' exposure to U.S. market risk but have negligible impact on idiosyncratic and world market risk. Our findings remain robust after we control for the potential endogeneity of the diversification decision through various self-selection models.

Download or read book International Diversification of Social and Private Risk written by Stephen S. Golub and published by . This book was released on 1990 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Risk Direct Investment and International Diversification written by Alan M. Rugman and published by . This book was released on 1977 with total page 469 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Risk Reduction by International Diversification written by Alan M. Rugman and published by . This book was released on 1976 with total page 6 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Does Naive International Diversification Still Reduce Risk written by Thomas J. O'Brien and published by . This book was released on 1996 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book International Diversification Can It Reduce Systematic Risk written by Naisha Sujan and published by . This book was released on 2013 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: According to the much acclaimed portfolio theory, broader the diversification across industries, the more stable the returns and lesser the risk. Out of the total portfolio risk, unsystematic risk can be reduced by diversification if returns are not perfectly positively correlated. Systematic risk or market risk is considered to be non-diversifiable in nature. However, some scholars believe that diversifying across nations whose economic cycles are not perfectly in sync can further reduce the variability of returns of a diversified domestic portfolio. In this study, 10 portfolios comprising of different combinations of allocation in Nifty, Dow Jones and SSE Composite (Shanghai) indices have been taken which forms the opportunity set. Risk and return of these portfolios were calculated based on the average monthly returns earned on these three indices during the period 2004-12. Portfolios with a mix of three markets were found to give better results than portfolios invested in any one market. Thus international diversification pushes out the efficient frontier made out of domestic portfolios, thus simultaneously reducing risk and increasing the expected return.

Download or read book International Diversification and Shortfall Risk written by Kwok Ho and published by . This book was released on 1997* with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book International Diversification at Home and Abroad written by Feng Cai and published by . This book was released on 2004 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Risk Diversification in the Credit Portfolio written by Ms.JoAnne Morris and published by INTERNATIONAL MONETARY FUND. This book was released on 2001-12-01 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews the rules in place in selected countries to limit risk concentrations in the credit portfolio. The paper focuses on a number of issues suggested by international organizations for countries and bank supervisors to consider in imposing standards for risk diversification in the credit portfolio. The issues reviewed for each country are the large exposure limits, the definition of credit exposure (including application on a consolidated basis), and the definition of a group of related borrowers. The paper concludes that most of the countries reviewed set limits on large exposures for banks and define a related group of borrowers in line with recommended international standards. The major differences identified among countries include how to determine the credit exposure, the application of the exposure limits on a consolidated basis, and whether to impose limits on exposure to a specific sector.