Author: Isabel C. AndradePublisher:
ISBN:
Category :
Languages : en
Pages : 17
Book Description
The Gains from International Portfolio Diversification in Bonds and Equities
Author: Isabel C. AndradeAre the Gains from International Portfolio Diversification Exaggerated? The Influence of Downside Risk in Bear Markets
Author: Kirt C. ButlerPublisher:
ISBN:
Category :
Languages : en
Pages : 26
Book Description
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.
The Gains from International Portfolio Diversification
Author: Shaun MiskellPublisher:
ISBN:
Category : Accounting
Languages : en
Pages :
Book Description
The Gains From International Portfolio Diversification
Author: Riad Cheikh El GhanamaPublisher:
ISBN: 9783659241987
Category :
Languages : en
Pages : 0
Book Description
Sources of Gains from International Portfolio Diversification
Author: José CampaPublisher:
ISBN:
Category : Investments, Foreign
Languages : en
Pages : 39
Book Description
Sources of Gains from International Portfolio Diversification
Author: Nuno FernandesPublisher:
ISBN:
Category :
Languages : en
Pages : 46
Book Description
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.
Gains from International Diversification
Author: Robert R. GrauerPublisher:
ISBN:
Category : Investments
Languages : en
Pages : 24
Book Description
International Portfolio Diversification
Author: Cheol S. EunActive Portfolio Management and the Gains from International Portfolio Diversification [microform]
![Active Portfolio Management and the Gains from International Portfolio Diversification [microform] PDF](https://books.google.com/books/content/images/frontcover/d7U1vwEACAAJ?fife=w80-h100)
Author: Mohiuddin Muhammad Moosa KhanPublisher: National Library of Canada
ISBN: 9780315307773
Category : Investments
Languages : en
Pages : 466
Book Description
Unexploited gains from international diversification : patterns of portfolio holdings around the world
Author: Tatiana DidierPublisher:
ISBN:
Category : Asset allocation
Languages : en
Pages : 40
Book Description
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.