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An empirical examination of the benefits of international diversification
16 references·1 citing·45 second hop
An empirical examination of the benefits of international diversification (2005)An empirical examination of the benefits …Triumph of the optimists: 101 years of global investment returns (2003)Triumph of the optimists: 101…Diversification benefits of emerging markets subject to portfolio constraints (2003)Diversification benefits of e…Mutual Fund Survivorship (2002)Mutual Fund SurvivorshipTesting for Mean‐Variance Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets (2001)Testing for Mean‐Variance Spa…Long-Term Global Market Correlations (2001)Long-Term Global Market Corre…The Increasing Importance of Industry Factors (2000)The Increasing Importance of …The Sampling Error in Estimates of Mean‐Variance Efficient Portfolio Weights (1999)The Sampling Error in Estimat…Can the Gains from International Diversification Be Achieved without Trading Abroad? (1999)Can the Gains from Internatio…Mutual Fund Performance: Evidence from the UK (1998)Mutual Fund Performance: Evid…Predictable Risk and Returns in Emerging Markets (1995)Predictable Risk and Returns …Predictable Risk and Returns in Emerging Markets (1994)Predictable Risk and Returns …Using Generalized Method of Moments to Test Mean-Variance Efficiency (1991)Using Generalized Method of M…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…WORLD, NATIONAL, AND INDUSTRY FACTORS IN EQUITY RETURNS (1974)WORLD, NATIONAL, AND INDUSTRY…Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)Internationally Diversified P…Mutual Fund Performance (1966)Mutual Fund PerformanceBenefits of international diversification with investment constraints: An over-time perspective (2008)Benefits of international div…Size and Book-to-Market Factors in Earnings and Returns (1995)Value versus Growth: The International Evidence (1998)Chapter 13 Consumption-based asset pricing (2003)Is size dead? A review of the size effect in equity returns (2011)Predictive regressions with time-varying coefficients (2012)Time‐Varying World Market Integration (1995)Foreign Speculators and Emerging Equity Markets (2000)Extreme Correlation of International Equity Markets (2001)‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion (2005)Modeling financial contagion using mutually exciting jump processes (2015)Virtual currency, tangible return: Portfolio diversification with bitcoin (2015)Portfolio Selection: Efficient Diversification of Investments (1959)Does industrial structure explain the benefits of international diversification? (1994)International comovement of stock market returns: A wavelet analysis (2009)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Is the correlation in international equity returns constant: 1960–1990? (1995)Multivariate Simultaneous Generalized ARCH (1995)Market Segmentation and the Cost of Capital in International Equity Markets (2000)Chapter 16 Are financial assets priced locally or globally? (2003)Dynamic stock market integration driven by the European Monetary Union: An empirical analysis (2005)Handbooks in operations research and management science (1989)Global Portfolio Optimization (1992)Systemic Risk and International Portfolio Choice (2004)PORTFOLIO SELECTION WITH MONOTONE MEAN‐VARIANCE PREFERENCES (2009)Accounting anomalies and fundamental analysis: A review of recent research advances (2010)Editor's Choice Digesting Anomalies: An Investment ApproachCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Value and Momentum Everywhere (2013)Market and Industry Factors in Stock Price Behavior (1966)Why Not Diversify Internationally Rather Than Domestically? (1974)Economic Forces and the Stock Market (1986)The rise in comovement across national stock markets: market integration or IT bubble? (2004)Comovement in international equity markets: A sectoral view (2005)European banking: An overview (2007)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The arbitrage theory of capital asset pricing (1976)Local Return Factors and Turnover in Emerging Stock Markets (1999)A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)Political connections and the cost of equity capital (2012)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)
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References

  • 1966Mutual Fund Performance3,932 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 1994Predictable Risk and Returns in Emerging Markets1,042 cited
  • 1968Internationally Diversified Portfolios: Welfare Gains and Capital Flows1,025 cited
  • 1995Predictable Risk and Returns in Emerging Markets982 cited
  • 2001Long-Term Global Market Correlations783 cited
  • 2003Triumph of the optimists: 101 years of global investment returns585 cited
  • 1999The Sampling Error in Estimates of Mean‐Variance Efficient Portfolio Weights472 cited
  • 2000The Increasing Importance of Industry Factors457 cited
  • 1999Can the Gains from International Diversification Be Achieved without Trading Abroad?365 cited
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  • 1974WORLD, NATIONAL, AND INDUSTRY FACTORS IN EQUITY RETURNS303 cited
  • 2001Testing for Mean‐Variance Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets293 cited
  • 2002Mutual Fund Survivorship269 cited
  • 1998Mutual Fund Performance: Evidence from the UK232 cited

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2003
Diversification benefits of emerging markets subject to portfolio constraints
230 cited

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  • 2008Benefits of international diversification with investment constraints: An over-time perspective44 cited