International Diversification Benefits with Foreign Exchange Investment Styles
Author: Tim-Alexander Kroencke
Publisher:
Published: 2011
Total Pages: 61
ISBN-13:
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Author: Tim-Alexander Kroencke
Publisher:
Published: 2011
Total Pages: 61
ISBN-13:
DOWNLOAD EBOOKAuthor: Marie Engholt Hansen
Publisher:
Published: 2011
Total Pages: 148
ISBN-13:
DOWNLOAD EBOOKAuthor: Mr.Charles Engel
Publisher: International Monetary Fund
Published: 2009-01-01
Total Pages: 49
ISBN-13: 1451871597
DOWNLOAD EBOOKThis paper develops a two-country monetary DSGE model in which households choose a portfolio of home and foreign equities, and a forward position in foreign exchange. Some nominal goods prices are sticky. Trade in these assets achieves the same allocations as trade in a complete set of nominal state-contingent claims in our linearized model. When there is a high degree of price stickiness, we show that not much equity diversification is required to replicate the complete-markets equilibrium when agents are able to hedge foreign exchange risk sufficiently. Moreover, temporarily sticky nominal goods prices can have large effects on equity portfolios even when dividend processes are very persistent.
Author: Cheol S. Eun
Publisher:
Published: 1996
Total Pages: 84
ISBN-13:
DOWNLOAD EBOOKAuthor: Patrick F. Rowland
Publisher:
Published: 1998
Total Pages: 74
ISBN-13:
DOWNLOAD EBOOKOne possible explanation for home bias is that investors may obtain indirect international diversification benefits by investing in multinational firms rather than by investing directly in foreign markets. This paper employs mean-variance spanning tests to examine the diversification potential of multinational firms and foreign market indices for investors domiciled in Canada, France, Germany, Italy, Japan, the United Kingdom and the United States. We find that in most countries and most time periods, the portfolio of domestic stocks spans the risk and return opportunities of a portfolio that includes domestic and multinational stocks. However, there is weak evidence that U.S. multinationals provided global diversification benefits in the full 1984-92 sample and in the post-1987 subsample. We also find that the addition of foreign market indices to a domestic portfolio - inclusive of multinationals - provides diversification benefits. The economic importance of the shift of the portfolio frontier - measured as the utility gain from diversification - varies considerably from market to market and often reflects the benefits of large short positions in certain markets.
Author: Patrick F. Rowland
Publisher:
Published: 2002
Total Pages: 61
ISBN-13:
DOWNLOAD EBOOKOne possible explanation for home bias is that investors may obtain indirect international diversification benefits by investing in multinational firms rather than by investing directly in foreign markets. This paper employs mean-variance spanning tests to examine the diversification potential of multinational firms and foreign market indices for investors domiciled in Canada, France, Germany, Italy, Japan, the United Kingdom and the United States. We find that in most countries and most time periods, the portfolio of domestic stocks spans the risk and return opportunities of a portfolio that includes domestic and multinational stocks. However, there is weak evidence that U.S. multinationals provided global diversification benefits in the full 1984-92 sample and in the post-1987 subsample. We also find that the addition of foreign market indices to a domestic portfolio - inclusive of multinationals - provides diversification benefits. The economic importance of the shift of the portfolio frontier - measured as the utility gain from diversification - varies considerably from market to market and often reflects the benefits of large short positions in certain markets.
Author: Cheol S. Eun
Publisher:
Published: 1991
Total Pages: 42
ISBN-13:
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Publisher:
Published: 1989
Total Pages: 46
ISBN-13:
DOWNLOAD EBOOKAuthor: Lorne N. Switzer
Publisher:
Published: 2015
Total Pages: 43
ISBN-13:
DOWNLOAD EBOOKThis paper examines the benefits of international diversification for US investors, while accounting for market development, corporate governance, market cap effects, and structural change across countries over period August 1996-July 2013. Improved risk adjusted returns are obtained from a diversified portfolio consisting of a mix of developed and emerging countries. Additionally, we find that diversification benefits are not significant for most of the small-cap foreign assets when an investor already holds position in corresponding countries large-cap assets. Diversification benefits based on the governance effectiveness of a country's companies are not ubiquitous. We find that economically significant improvements in risk-return performance can be attained by adding large caps of developed countries with high and low overall Governance Metrics International (GMI) ratings and large and small caps of emerging countries with low overall GMI ratings to the investment universe containing the assets of common law developed countries. However, diversification benefits are economically significant only for large and small caps of low GMI emerging countries when short selling is not allowed.
Author: Theodore Michael Johnson
Publisher:
Published: 1989
Total Pages: 148
ISBN-13:
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