The 'Bear' and the Benefits of International Portfolio Diversification PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download The 'Bear' and the Benefits of International Portfolio Diversification PDF full book. Access full book title The 'Bear' and the Benefits of International Portfolio Diversification by Rui T. Dias. Download full books in PDF and EPUB format.
Author: Rui T. Dias Publisher: ISBN: Category : Languages : en Pages : 13
Book Description
The objective of this paper is to review literature on capital asset pricing models relatively to investment in international assets. Furthermore, we applied the concepts in an empirical analysis of risk diversification and capital asset pricing. We provided a practical exercise on the risk diversification by using recent data that goes through a bear market period. We found evidence that the correlation was time-varying depending on the status of the market.We applied the simple CAPM model to the international setting. The results were consistent with the required restrictions. In the first part of the paper we revised the foundations of the portfolio diversification literature; in the second part we addressed the problem of the diversification of the risk in international investments, in the third part we tested the basic International Capital Asset Pricing Model to the Italian data and in the final part we presented our conclusions.
Author: Rui T. Dias Publisher: ISBN: Category : Languages : en Pages : 13
Book Description
The objective of this paper is to review literature on capital asset pricing models relatively to investment in international assets. Furthermore, we applied the concepts in an empirical analysis of risk diversification and capital asset pricing. We provided a practical exercise on the risk diversification by using recent data that goes through a bear market period. We found evidence that the correlation was time-varying depending on the status of the market.We applied the simple CAPM model to the international setting. The results were consistent with the required restrictions. In the first part of the paper we revised the foundations of the portfolio diversification literature; in the second part we addressed the problem of the diversification of the risk in international investments, in the third part we tested the basic International Capital Asset Pricing Model to the Italian data and in the final part we presented our conclusions.
Author: Daniella Acker Publisher: ISBN: Category : Languages : en Pages : 34
Book Description
We investigate the effects of bull and bear markets on correlations between developed and emerging country equity returns, and on the benefits of combining international markets in a portfolio. Contrary to most other studies we find that correlations fall in both bull and bear markets, although far more in the former; that emerging markets provide both additional diversification benefits for investors in developed markets and, especially, some protection during bear markets.
Author: Rui T. Dias
Author: Rui T. Dias
Author: Daniella Acker
Author: Santis Giorgio De
Author: Peh San Zee
Author: Giorgio De Santis
Author: Philip J. Molloy
Author: Minji Yoo
Author: Sheldon Novack
Author: Timothy McIntosh
Author: Theodore Michael Johnson