Download or read book The Gains from International Portfolio Diversification in Bonds and Equities written by Isabel C. Andrade and published by . This book was released on 1995 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Sources of Gains from International Portfolio Diversification written by José Campa and published by . This book was released on 2004 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Are the Gains from International Portfolio Diversification Exaggerated The Influence of Downside Risk in Bear Markets written by Kirt C. Butler and published by . This book was released on 2002 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: The fundamental rationale for international portfolio diversification is that it expands the opportunities for gains from portfolio diversification beyond those that are available through domestic securities. However, if international stock market correlations are higher than normal in bear markets, then international diversification will fail to yie ld the promised gains just when they are needed most. We evaluate the extent to which observed correlations to monthly returns in bear, calm and bull markets are captured by three popular bivariate distributions: (1) the normal, (2) the restricted GARCH(1,1) of J. P. Morgan's RiskMetrics, and (3) the Student-t with four degrees of freedom. Observed correlations during calm and bull markets are unexceptional compared to these models. In contrast, observed correlations during bear markets are significantly higher than predicted. Higher-than-normal correlations during extreme market downturns result in monthly returns to equal-weighted portfolios of domestic and international stocks that are, on average, more than two percent lower than those predicted by the normal distribution. If the extent of non-normality during bear markets persists over time, then a U.S. investor allocating assets into foreign markets might want to allocate more assets into foreign markets with near-normal correlation profiles and avoid markets with higher-than-normal bear market co-movements.

Download or read book The Gains From International Portfolio Diversification written by Riad Cheikh El Ghanama and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Sources of Gains from International Portfolio Diversification written by Nuno Fernandes and published by . This book was released on 2006 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper looks at the determinants of country and industry specific factors in international portfolio returns using a sample of forty eight countries and thirty nine industries over the last three decades. Country factors have remained relatively stable over the sample period while industry factors have significantly increased during the last decade and dropped again since 2000. The importance of industry and country factors is correlated with measures of economic and financial international integration and development. We find that financial market globalization is the main driving force behind the changes in relative magnitude of the different shocks. Country factors are smaller for countries integrated in world financial markets and have declined as the degree of financial integration and the number of countries pursuing financial liberalizations has increased. Higher international financial integration within an industry increases the importance of industry factors in explaining returns. Economic integration of production also helps in explaining returns. Countries with a more specialized production activity have higher country shocks.

Download or read book The Gains from International Portfolio Diversification written by Shaun Miskell and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Gains from International Diversification written by Robert R. Grauer and published by . This book was released on 1987 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Active Portfolio Management and the Gains from International Portfolio Diversification microform written by Mohiuddin Muhammad Moosa Khan and published by National Library of Canada. This book was released on 1986 with total page 466 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book International Portfolio Diversification written by Cheol S. Eun and published by . This book was released on 1982 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Multinationals and the Gains from International Diversification written by Patrick F. Rowland and published by . This book was released on 1998 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt: One possible explanation for home bias is that investors may obtain indirect international diversification benefits by investing in multinational firms rather than by investing directly in foreign markets. This paper employs mean-variance spanning tests to examine the diversification potential of multinational firms and foreign market indices for investors domiciled in Canada, France, Germany, Italy, Japan, the United Kingdom and the United States. We find that in most countries and most time periods, the portfolio of domestic stocks spans the risk and return opportunities of a portfolio that includes domestic and multinational stocks. However, there is weak evidence that U.S. multinationals provided global diversification benefits in the full 1984-92 sample and in the post-1987 subsample. We also find that the addition of foreign market indices to a domestic portfolio - inclusive of multinationals - provides diversification benefits. The economic importance of the shift of the portfolio frontier - measured as the utility gain from diversification - varies considerably from market to market and often reflects the benefits of large short positions in certain markets.

Download or read book Unexploited gains from international diversification patterns of portfolio holdings around the world written by Tatiana Didier and published by . This book was released on 2010 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies how portfolios with a global investment scope are actually allocated internationally using a unique micro dataset on U.S. equity mutual funds. While mutual funds have great flexibility to invest globally, they invest in a surprisingly limited number of stocks, around 100. The number of holdings in stocks and countries from a given region declines as the investment scope of funds broadens. This restrictive investment practice has costs. A mean-variance strategy shows unexploited gains from further international diversification. Mutual funds investing globally could achieve better risk-adjusted returns by broadening their asset allocation, including stocks held by more specialized funds within the same mutual fund family (company). This investment pattern is not explained by lack of information or instruments, transaction costs, or a better ability of global funds to minimize negative outcomes. Instead, industry practices related to organizational factors seem to play an important role.

Download or read book The Impact of Increasing Stock Market Integration on Expected Gains from International Portfolio Diversification written by Mohamed Arouri and published by . This book was released on 2005 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper tests a conditional International Asset Pricing Model (ICAPM) using an asymmetric multivariate GARCH specification and investigates evolutions of ex ante benefits from world market diversification. The model is estimated simultaneously for 8 markets: the world market, 4 developed markets and 3 emerging markets. This approach allows to the price of market risk, betas and correlations to vary through time. The evidence supports the financial integration hypothesis and suggests that investors from all countries could expect statistically significant benefits from international diversification but that gains are considerably larger for investors with smaller home markets.

Download or read book Multinationals and the Gains from International Diversification written by Patrick F. Rowland and published by . This book was released on 2002 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: One possible explanation for home bias is that investors may obtain indirect international diversification benefits by investing in multinational firms rather than by investing directly in foreign markets. This paper employs mean-variance spanning tests to examine the diversification potential of multinational firms and foreign market indices for investors domiciled in Canada, France, Germany, Italy, Japan, the United Kingdom and the United States. We find that in most countries and most time periods, the portfolio of domestic stocks spans the risk and return opportunities of a portfolio that includes domestic and multinational stocks. However, there is weak evidence that U.S. multinationals provided global diversification benefits in the full 1984-92 sample and in the post-1987 subsample. We also find that the addition of foreign market indices to a domestic portfolio - inclusive of multinationals - provides diversification benefits. The economic importance of the shift of the portfolio frontier - measured as the utility gain from diversification - varies considerably from market to market and often reflects the benefits of large short positions in certain markets.

Download or read book Portfolio Diversification written by Francois-Serge Lhabitant and published by Elsevier. This book was released on 2017-09-26 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio Diversification provides an update on the practice of combining several risky investments in a portfolio with the goal of reducing the portfolio's overall risk. In this book, readers will find a comprehensive introduction and analysis of various dimensions of portfolio diversification (assets, maturities, industries, countries, etc.), along with time diversification strategies (long term vs. short term diversification) and diversification using other risk measures than variance. Several tools to quantify and implement optimal diversification are discussed and illustrated. Focuses on portfolio diversification across all its dimensions Includes recent empirical material that was created and developed specifically for this book Provides several tools to quantify and implement optimal diversification

Download or read book The Benefits of International Portfolio Diversification written by Philip J. Molloy and published by . This book was released on 1990 with total page 139 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Some Evidence on the Interdependence of National Stock Markets and the Gains from International Portfolio Diversification written by J. D. Byers and published by . This book was released on 1992 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Cointegration and the Gains from International Portfolio Diversification in Bonds and Equities written by I. C. Andrade and published by . This book was released on 1991 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: