کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
958312 928985 2009 20 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Time-varying Integration and International diversification strategies
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Time-varying Integration and International diversification strategies
چکیده انگلیسی

This paper investigates the impact of globalization and integration on the relative benefits of country and industry diversification. Unlike previous models, our factor model allows asset exposures and volatilities to vary with both structural changes and temporary fluctuations in the economic and financial environment. First, we find that globalization and integration have lead to a gradual convergence of country to industry betas, especially in Europe. Second, the structurally-driven increase in market betas is accompanied by a gradual decrease in country-specific risk. Third, even though the edge has structurally decreased, geographical diversification continues being superior to industry diversification.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 16, Issue 3, June 2009, Pages 368–387
نویسندگان
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