The Empirical Investigation of Potential Gains from International Diversification PDF Download

Author: Mehdi Hojjat
Publisher:
ISBN:
Category : International finance
Languages : en
Pages : 270

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Author: Shaun McDowell
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 217

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Book Description
This thesis investigates the effect of allocation weight constraints, estimation error and taxes on the potential benefits from international diversification. The empirical results presented in this thesis address gaps in the literature concerning the statistical significance of the potential gains from international diversification and whether these potential benefits can be realized ex-ante. Weight constraints on market allocations used with static in-sample optimized portfolios are found to reduce the potential benefits of international diversification to statistically insignificant levels versus the domestic portfolio for the majority of investors in developed markets for the 1993 to 2014 investment period. The naive global market capitalization weighted (1/M) portfolio, the most strongly constrained portfolio, provides statistically significant positive gains for only 2 of the 34 markets studied. Estimation error reduction strategies designed to improve ex-ante optimization are not found to outperform the naive domestic market portfolio or the naive 1/M port- folio for investors in the majority of countries measured. And the unequal taxation of overseas equity income is reported to reduce the potential benefits of international diversification and increase the efficiency of a home bias for New Zealand investors indirectly investing in equities held in a portfolio investment entity (PIE). These empirical findings suggest that a home bias may exist in part because allocation constraints, estimation error and taxes on overseas equity investments can make overweighting the domestic market a statistically efficient investment decision.

Author: Cheol S. Eun
Publisher:
ISBN:
Category : Investments, Foreign
Languages : en
Pages : 26

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Author: Simon E. Öhri
Publisher:
ISBN:
Category :
Languages : en
Pages : 118

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Author: Robert R. Grauer
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 24

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Author: Dongyeol Lee
Publisher: International Monetary Fund
ISBN: 1498315658
Category : Business & Economics
Languages : en
Pages : 24

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Export structure is less diversified in low-income countries (LICs) and especially small states that face resource constraints and small economic size. This paper explores the potential linkages between export structure and economic growth and its volatility in LICs and small states, using a range of indices of export concentration differing in the coverage of industries. The empirical analysis finds that export diversification may promote economic growth and reduce economic volatility in these countries. Furthermore, the analysis demonstrates that the economic benefits of export diversification differ by country size and income level—there are bigger benefits for relatively larger and poorer countries within the group of LICs and small states.

Author: Frank Joseph Shulman
Publisher: Hong Kong University Press
ISBN: 9789622093973
Category : Language Arts & Disciplines
Languages : en
Pages : 878

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Book Description
A descriptively annotated, multidisciplinary, cross-referenced and extensively indexed guide to 2,395 dissertations that are concerned either in whole or in part with Hong Kong and with Hong Kong Chinese students and emigres throughout the world.

Author: Martin Feldstein
Publisher: University of Chicago Press
ISBN: 0226241807
Category : Business & Economics
Languages : en
Pages : 500

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Book Description
Recent changes in technology, along with the opening up of many regions previously closed to investment, have led to explosive growth in the international movement of capital. Flows from foreign direct investment and debt and equity financing can bring countries substantial gains by augmenting local savings and by improving technology and incentives. Investing companies acquire market access, lower cost inputs, and opportunities for profitable introductions of production methods in the countries where they invest. But, as was underscored recently by the economic and financial crises in several Asian countries, capital flows can also bring risks. Although there is no simple explanation of the currency crisis in Asia, it is clear that fixed exchange rates and chronic deficits increased the likelihood of a breakdown. Similarly, during the 1970s, the United States and other industrial countries loaned OPEC surpluses to borrowers in Latin America. But when the U.S. Federal Reserve raised interest rates to control soaring inflation, the result was a widespread debt moratorium in Latin America as many countries throughout the region struggled to pay the high interest on their foreign loans. International Capital Flows contains recent work by eminent scholars and practitioners on the experience of capital flows to Latin America, Asia, and eastern Europe. These papers discuss the role of banks, equity markets, and foreign direct investment in international capital flows, and the risks that investors and others face with these transactions. By focusing on capital flows' productivity and determinants, and the policy issues they raise, this collection is a valuable resource for economists, policymakers, and financial market participants.

Author: Sudarshan Gooptu
Publisher: World Bank Publications
ISBN:
Category :
Languages : en
Pages : 74

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Author: John L. Maginn
Publisher: John Wiley & Sons
ISBN: 0470080140
Category : Business & Economics
Languages : en
Pages : 960

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Book Description
"A rare blend of a well-organized, comprehensive guide to portfolio management and a deep, cutting-edge treatment of the key topics by distinguished authors who have all practiced what they preach. The subtitle, A Dynamic Process, points to the fresh, modern ideas that sparkle throughout this new edition. Just reading Peter Bernstein's thoughtful Foreword can move you forward in your thinking about this critical subject." —Martin L. Leibowitz, Morgan Stanley "Managing Investment Portfolios remains the definitive volume in explaining investment management as a process, providing organization and structure to a complex, multipart set of concepts and procedures. Anyone involved in the management of portfolios will benefit from a careful reading of this new edition." —Charles P. Jones, CFA, Edwin Gill Professor of Finance, College of Management, North Carolina State University