کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10477498 | 930364 | 2012 | 30 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
International portfolio diversification: Currency, industry and country effects revisited
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We examine the relative importance of country, industry, world market and currency risk factors for international stock returns. Our approach focuses on testing the mean-variance efficiency of the various factor portfolios. An unconditional analysis does not show significant differences between country, industry and world portfolios, nor any role for currency risk factors. However, when we allow expected returns, volatilities and correlations to vary over time, we find that equity returns are mainly driven by global industry and currency risk factors. We propose a novel test to evaluate the relative benefits of alternative investment strategies and find that including currencies is critical to take full advantage of the diversification benefits afforded by international markets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 31, Issue 5, September 2012, Pages 1249-1278
Journal: Journal of International Money and Finance - Volume 31, Issue 5, September 2012, Pages 1249-1278
نویسندگان
Esther Eiling, Bruno Gerard, Pierre Hillion, Frans A. de Roon,