risk adjusted returns and significantly enhances the benefits of global diversification. We show momentum to be a practical … diversification across different asset classes, momentum may also be an attractive enhancement to traditional mean variance portfolio …

"This paper examines the impact of short-sale constraints on the magnitude of international diversification benefit for … U.S. investors during the period of 1976-1998. The diversification benefit is measured as the increase in expected …. Although short-sale constraints reduce the diversification benefit, we find that the reduction caused by the constraints on …

analyze the relation between systemic risk and portfolio diversification, highlighting the differences between heterogeneous … and homogeneous diversification. Diversification is generally accepted to be the main tool for reducing idiosyncratic or … portfolio-specific financial risk, but the homogeneous diversification produces also effects on systemic risk. The research …

global integration at the firm-level and study its implications for diversification. Specifically, the adjusted R-square, our … minimally driven by the common global factors, investors can significantly benefit from diversification within developed markets …. Thus, the diversification gains solely inferred from the market indices much understate the potential benefits that world …

, on average, an international diversification premium of 19%. Further, the value premium is increasing in the difference …

The weak empirical evidence linking diversification and international equity flows calls into question the … diversification paradigm at the international level and the analytical framework it implies. Using a novel measure of diversification … the role that diversification opportunities play in the determination of international equity flows. Using the concept of …