Download or read book International Diversification Measurement written by Alfred Peter Quinton and published by . This book was released on 1993 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Diversification Measurement written by Alfred Peter Quinton and published by . This book was released on 1995 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Distinguishing Between Related and Unrelated International Diversification written by Sushil Vachani and published by . This book was released on 1990 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Measuring the Benefits from International Diversification with Daily Data written by Curtis P. Haugtvedt and published by . This book was released on 1987 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Measuring the Benefits from International Diversification with Daily Data written by Warren Bernard Bailey and published by . This book was released on 1990 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Diversification Relatedness and Performance written by Frithjof Pils and published by Springer Science & Business Media. This book was released on 2009-04-09 with total page 229 pages. Available in PDF, EPUB and Kindle. Book excerpt: Frithjof Pils uses multiple statistical techniques to examine the true nature of the relationships between diversification strategies and accounting-based, market-based, and growth-based performance. The author shows implications for the interpretation of past research, the design of future research including the use of meta-analysis methodologies, as well as management practice.
Download or read book Geoeconomic Fragmentation and International Diversification Benefits written by Tatsushi Okuda and published by International Monetary Fund. This book was released on 2024-03-08 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper applies the two-country open-economy model with trade in stocks and bonds of Coeurdacier et al. (2010) to quantify the loss of international diversification benefits for major advanced economies, which have a significant presence in international financial markets, under geoeconomic fragmentation. We perform counterfactual simulations under different hypothetical fragmentation scenarios in which these economies are unable to trade with geopolitically distant countries, as measured by voting disagreement on foreign policy issues at the United Nations General Assembly meetings during 2012-2021. The simulation results imply a potentially significant loss of international diversification benefits of financial openness for the considered advanced economies by limiting trading to partner countries that are geopolitical allies with highly synchronized business cycles.
Download or read book International Diversification at Home and Abroad written by Fang Cai and published by . This book was released on 2007 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is an established fact that investors favor the familiar%u2014be it domestic securities or, within a country, the securities of nearby firms%u2014and avoid investments that would provide the greatest diversification benefits. While we do not rule out familiarity as an important driver of portfolio allocations, we provide new evidence of investors%u2019 international diversification motive. In particular, our analysis of the security-level U.S. equity holdings of foreign and domestic institutional investors indicates that institutional investors reveal a preference for domestic multinationals (MNCs), even after controlling for familiarity factors. We attribute this revealed preference to the desire to obtain %u201Csafe%u201D international diversification. We then show that holdings of domestic MNCs are substantial and, after accounting for this home-grown foreign exposure, that the share of %u201Cforeign%u201D equities in investors%u2019 portfolios roughly doubles, reducing (but not eliminating) the observed home bias.
Download or read book Global Diversification written by Meir Statman and published by . This book was released on 2005 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: Correlations between the returns of U.S. stocks and international stocks were higher recently than in the past, reaching 0.86 during the 60 months ending in December 2003. Today's investors note the high correlations between U.S. and international stocks and doubt the benefits of global diversification. We argue that the benefits of global diversification remain high and that the correlation between U.S. and international stocks is a misleading measure of the benefits of global diversification. This is for two reasons. First, the benefits of global diversification depend not only on the correlation between the returns of U.S. and international stocks but also on the standard deviations of these returns. Second, we tend to have poor intuition about the link between correlation and the benefits of diversification. A 0.86 correlation seems high enough to eliminate the benefits of diversification, but even correlations much higher than 0.86 are associated with substantial benefits. Dispersion of returns is a better measure of the benefits of diversification because it accounts for the effects of both correlation and standard deviation and because it provides an intuitive measure of the benefits of diversification. We present the relationship between correlation, standard deviation and dispersion.
Download or read book The International Diversification Puzzle when Goods Prices Are Sticky written by Mr.Charles Engel and published by International Monetary Fund. This book was released on 2009-01-01 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a two-country monetary DSGE model in which households choose a portfolio of home and foreign equities, and a forward position in foreign exchange. Some nominal goods prices are sticky. Trade in these assets achieves the same allocations as trade in a complete set of nominal state-contingent claims in our linearized model. When there is a high degree of price stickiness, we show that not much equity diversification is required to replicate the complete-markets equilibrium when agents are able to hedge foreign exchange risk sufficiently. Moreover, temporarily sticky nominal goods prices can have large effects on equity portfolios even when dividend processes are very persistent.
Download or read book How to Measure the Returns to be Expected from International Portfolio Diversification written by Edmund H. Mantell and published by . This book was released on 1982 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Measuring Energy Security written by Mr.Prakash Loungani and published by International Monetary Fund. This book was released on 2011-02-01 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present evidence on one facet of energy security in OECD economies - the extent of diversification in sources of oil and natural gas supplies. Viewed from the perspective of the energy-importing countries as a whole, there has not been much change in diversification in oil supplies over the last decade, but diversification in sources of natural gas supplies has increased steadily. We document the cross-country heterogeneity in the extent of diversification. We also show how the extent of diversification changes if account is taken of the political risk attached to suppliers; the size of the importing country; and transportation risk.
Download or read book Numeraire Portfolio Tests of the Size and Source of Gains from International Diversification written by Ludger Hentschel and published by . This book was released on 2003 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: We measure the size and sources of gains from international diversification using metrics that are independent of currency choices. When we apply these measures to industry sector portfolios for six large equity markets, we find that, offered costless access to a foreign market, investors would construct portfolios with substantial leverage to obtain large certainty-equivalent wealth gains from that market access. At the same time, modest proportional transaction costs would eliminate all of these gains by inducing investors to voluntarily forego positions in foreign assets. Using the same measures, we find that emerging market equity indices offer fewer gains from diversification than assets from developed markets.
Download or read book International Diversification with Factor Funds written by Cheol S. Eun and published by . This book was released on 2015 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a new investment strategy employing “factor funds” to systematically enhance the mean-variance efficiency of international diversification. Our approach is motivated by the increasing evidence that size (SMB), book-to-market (HML), and momentum (MOM) factors, along with the market factor, adequately describe international stock returns, and by the direct link between investors' portfolio choice problems and international asset pricing theories and tests. Using data from ten developed countries during the period 1981-2008, we show that the “augmented” optimal portfolio involving local factor funds substantially outperforms the “benchmark” optimal portfolio comprising country market indices only as measured by their portfolio Sharpe ratios. This strongly rejects the intersection hypothesis which posits that the local factor funds do not span investment opportunities beyond what country market indices do. Among the three classes of factor funds, HML funds contribute most to the efficiency gains. In addition, the local version of factor funds outperforms the global factor funds. The added gains from local factor diversification are significant for both in- and out-of-sample periods, and for a realistic range of additional investment costs for factor funds, and remain robust over time.
Download or read book The World Bank Research Observer written by and published by . This book was released on 2003 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 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.
