کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
958609 | 929042 | 2010 | 22 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The plausibility of risk estimates and implied costs to international equity investments
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: The plausibility of risk estimates and implied costs to international equity investments The plausibility of risk estimates and implied costs to international equity investments](/preview/png/958609.png)
چکیده انگلیسی
We reconsider the costs to international equity investments implied by standard portfolio theory (Cooper and Kaplanis, 1994; Sercu and Vanpée, 2008). Estimated costs are mostly driven by risk estimates, not by asset holdings. For OECD markets, risks are fairly stable and relatively easy to estimate, but for emerging markets this is not the case. Many required expected returns implied by unconditional risk estimates defy credibility, both a priori and empirically. More sophisticated volatility estimates based on a dynamic risk model a la Bekaert and Harvey (1997) lead to implicit costs that are far more credible, but the results remain fragile.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 17, Issue 4, September 2010, Pages 623–644
Journal: Journal of Empirical Finance - Volume 17, Issue 4, September 2010, Pages 623–644
نویسندگان
Lieven De Moor, Piet Sercu, Rosanne Vanpée,