Showing 1 - 10 of 100,559
The question that this paper raise in this paper is how to choose the best mix of countries to diversify internationally? They compare several methods of asset allocation from a Swiss perspective over the period 1988-2001.
Persistent link: https://www.econbiz.de/10005843298
sollten. Deshalb zeigt diese Arbeit die möglichen Vorteile einer internationalen Diversifikation von Aktienportfolios in CEE …
Persistent link: https://www.econbiz.de/10005866062
This paper identifies low frequency movements in the time series of return dispersions suggestive of cycles and long swings in return correlations.
Persistent link: https://www.econbiz.de/10005843251
Die zunehmende Globalisierung der weltweiten Realwirtschaften hat zu einem Anstieg derKorrelationen zwischen den Aktienmärkten der unterschiedlichen Länder geführt. Damit einhergehendwird für internationale Aktieninvestoren eine Länderdiversifikation ihrer Aktienportefeuillesimmer weniger...
Persistent link: https://www.econbiz.de/10005866060
This paper deals with the country allocation provides benefits over industry allocation in a sample of European country and industry indexes.
Persistent link: https://www.econbiz.de/10005843478
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,...
Persistent link: https://www.econbiz.de/10013005156
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...
Persistent link: https://www.econbiz.de/10014349350
This paper presents a rational expectations model of asset prices with rationally inattentive investors that, unlike previous papers, explains both the substantial amount of equity wealth invested domestically and the puzzling time series behavior of the home bias - an initial plateau before...
Persistent link: https://www.econbiz.de/10003855480
By allowing for imperfectly informed markets and the role of private information, we offer new insights about observed deviations of portfolio concentrations in domestic relative to foreign risky assets, or "home bias", from what standard finance models predict. Our model ascribes the "bias" to...
Persistent link: https://www.econbiz.de/10009516904
Recent academic research predicts that (i) equity mutual funds have a systematically better performance during periods of economic downturn and (ii) investors are willing to pay high fees for funds that provide recession insurance. In this paper, we test these hypotheses using international fund...
Persistent link: https://www.econbiz.de/10010410729