International portfolio diversification: Currency, industry and country effects revisited

被引：34

作者：

Eiling, Esther ^{[1
]}

Gerard, Bruno ^{[2
,3
]}

Hillion, Pierre ^{[4
]}

de Roon, Frans A. ^{[5
]}

机构：

[1] Univ Toronto, Rotman Sch Management, Toronto, ON M55 3E6, Canada

[2] Norwegian Sch Management BI, N-0442 Oslo, Norway

[3] Tilburg Univ, N-0442 Oslo, Norway

[4] INSEAD, Singapore 138676, Singapore

[5] Tilburg Univ, NL-5000 LE Tilburg, Netherlands

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2012年 / 31卷 / 05期

关键词：

International financial markets; Currency risk; Mean-variance efficiency; Conditioning information; MARKET INTEGRATION; WORLD; TIME; EFFICIENCY; TESTS; RISK; MODEL; EMU;

D O I：

10.1016/j.jimonfin.2012.01.015

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the relative importance of country, industry, world market and currency risk factors for international stock returns. Our approach focuses on testing the mean-variance efficiency of the various factor portfolios. An unconditional analysis does not show significant differences between country, industry and world portfolios, nor any role for currency risk factors. However, when we allow expected returns, volatilities and correlations to vary over time, we find that equity returns are mainly driven by global industry and currency risk factors. We propose a novel test to evaluate the relative benefits of alternative investment strategies and find that including currencies is critical to take full advantage of the diversification benefits afforded by international markets. (C) 2012 Elsevier Ltd. All rights reserved.

引用

页码：1249 / 1278

页数：30

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