In this study, we examine whether international portfolio diversification still matters despite an increase in the cross-country correlations of assets returns. More specifically, we explain why an increase in global return correlations does not necessarily imply a reduction in the benefits of...

The empirical validation of the CAPM raises two major issues: the coefficients of the model seem to evidence dynamic change through time and the difficulty to properly approximate the market portfolio. Conditional versions of the CAPM that propose to take various variables including human...