The purpose of this study is to assess the diversification benefits resulting from international asset allocation. In this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity returns for 26 countries (18 developed and 8 emerging...

The evidence for international diversification as a means to curtail portfolio risk relies predominantly on short-run data. In this paper, we examine the extent to which the risk reduction benefits of international investment hold in the long-run. Employing a multi-horizon non-parametric filter,...

We measure market integration at a firm-level for the US stock market with the rest of the world. The properties of firm-level integration are explored across time and industries and then stocks are sorted into high- and low-integration portfolios. The role of the least globally integrated US...

By estimating the correlation coefficients values we compare in this study the diversification potential of the different foreign equity markets and commodities. We present the findings that reflect the perspective of Polish investor. Our results are following: we identify a significant...

This paper implements a parsimonious and practical methodology to examine the diversification potential of international equity portfolios. The analysis shows that the Portfolio Diversification Index (Rudin, A.M., and Morgan, J.S., Journal of Portfolio Management [2006]) efficiently replicates a...

This paper analyses the diversification properties of country equity factors across six equity factors and twenty developed markets from 1991 to 2015. The factors considered are the market excess return, size, value, momentum, low beta and quality. I find substantial diversification benefits...

The benefits of country diversification are well-established. This article shows that the same benefits extend to equity factors, such as value, size, momentum, investment, and profitability. Specifically, country factor portfolios reflect both common variation, which we define as the global...

Utilizing approximately 51,000 sample firms from developed markets over 1995-2014, we document a stark heterogeneity in global integration at the firm-level and study its implications for diversification. Specifically, the adjusted R-square, our integration measure, is widely distributed across...

This paper explores international diversification benefits of Islamic bonds (sukuk) by examining dynamic spillovers and correlations between sukuk and conventional bond and stock markets. Asymmetric volatility spillover effects are observed from global debt and equity markets to Islamic bonds,...

Recent studies document the diminishing benefits from international diversification, especially for large-cap stocks and in developed markets. This paper evaluates the potential diversification benefits of holding cross-listed stocks from a liquidity risk perspective. By examining the dependence...