International portfolio diversification: Currency, industry and country effects revisited
| العنوان: | International portfolio diversification: Currency, industry and country effects revisited |
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| المؤلفون: | Esther Eiling, Frans de Roon, Bruno Gerard, Pierre Hillion |
| المساهمون: | Research Group: Finance, Department of Finance |
| المصدر: | Journal of International Money and Finance Journal of International Money and Finance, 31(5), 1249-1278. ELSEVIER SCI LTD |
| بيانات النشر: | Elsevier BV, 2012. |
| سنة النشر: | 2012 |
| مصطلحات موضوعية: | International market, Economics and Econometrics, international financial markets, Equity (finance), Diversification (finance), mean-variance efficiency, Monetary economics, Currency, currency risk, World market, Economics, Alternative investment, Foreign exchange risk, Finance, Stock (geology), conditioning information |
| الوصف: | This is the authors’ final, accepted and refereed manuscript to the article 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 detect 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. |
| وصف الملف: | application/pdf |
| تدمد: | 0261-5606 |
| DOI: | 10.1016/j.jimonfin.2012.01.015 |
| URL الوصول: | https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5efed5964a7b46cd29e9b832a7edc504 https://doi.org/10.1016/j.jimonfin.2012.01.015 |
| Rights: | OPEN |
| رقم الانضمام: | edsair.doi.dedup.....5efed5964a7b46cd29e9b832a7edc504 |
| قاعدة البيانات: | OpenAIRE |
| تدمد: | 02615606 |
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| DOI: | 10.1016/j.jimonfin.2012.01.015 |