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Identifying Sources of Correlation in Global Equity Portfolios (September 2010)

Inc., MSCI - 2010

With 153 factors, the Barra Global Equity Model (GEM2) provides a rich and granular view of the global equity space and the main sources of return and risk. However, having 153 factors leads to 11,628 unique correlations/covariances between factors, which makes it a challenge for managers to...

Persistent link: https://www.econbiz.de/10013136076

Country-Specific Risk Diversification Through International Equity Portfolios

Pizzutilo, Fabio - 2010

innovative methodology for quantifying the benefits of international diversification is also proposed and tested. In order to … overcome many of the problems that arise in the study of international diversification, the analysis is restricted to the … equity markets of the Eurozone. The results clearly show the benefits of international equity diversification, even in close …

Persistent link: https://www.econbiz.de/10013136337

The Benefits of International Portfolio Diversification

Ornelas, Jose Renato Haas - 2010

Diversification is one of the main pillars of finance theory. However, its benefits for a conservative investor have … the chosen numeraire in the analysis. Our results indicate that the benefits of diversification are higher for less risk …

Persistent link: https://www.econbiz.de/10013143530

International Portfolio Diversification Benefits in Periods of Crises

Bouslama, Ons - 2012

This paper studies the benefits of international portfolio diversification in a context of growing market correlation … variance, CVaR, LPM (2,3,4,5)) are used to assess the robustness of international diversification benefits. Equity returns from … characterized by increasing market correlations. Our empirical results show that international diversification benefits can still be …

Persistent link: https://www.econbiz.de/10013113980

Decomposing the U.S. External Returns Differential

Curcuru, Stephanie E. - 2010

We decompose the returns differential between U.S. portfolio claims and liabilities into the composition, return, and timing effects. Our most striking and robust finding is that foreigners exhibit poor timing when reallocating between bonds and equities within their U.S. portfolios. The poor...

Persistent link: https://www.econbiz.de/10013150847

Decomposing the U.S. External Returns Differential

Curcuru, Stephanie E. - 2010

Persistent link: https://www.econbiz.de/10013152498

Globalization of Equity Policy Portfolios, October 2009

Subramanian, Raman Aylur - 2014

Globalization has brought about a major rethinking of the equity investment. Thought leaders in the industry are questioning the merit of the existing equity allocation practices and are increasingly looking towards an integrated global equity investment process. The partitioned...

Persistent link: https://www.econbiz.de/10013070566

What Drives the Correlations between Human and Financial Capital Returns? An International Portfolio Choice Approach

Holland, Sara B.; Yonce, Adam - 2023

Over a time of increased economic stability, human capital returns have become riskier. Income volatility is increasing, workers bear more risk in labor markets, and global trends in trade and investment expose human capital to risks from a more internationally integrated economy. But measuring...

Persistent link: https://www.econbiz.de/10014346541

Fickle emerging market flows, stable euros, and the dollar risk factor

Boermans, Martijn A.; Burger, John D. - In: Journal of international economics 142 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014336774

Emerging markets interest rates, international reserves and net foreign assets

Bitar, Joseph; Boileau, Martin - In: Journal of globalization and development 12 (2021) 2, pp. 145-180

Persistent link: https://www.econbiz.de/10013262740