Fletcher, J.P. and Marshall, A.P. (2005) An empirical examination of the benefits of international diversification. Journal of International Financial Markets Institutions and Money, 15 (5). pp. 455-468. ISSN 1042-4431Full text not available in this repository. (Request a copy from the Strathclyde author)
We examine the benefits of international portfolio diversification for U.K. investors between January 1985 and December 2000 using the approach ofWang [Wang, Z., 1998. Efficiency loss and constraints on portfolio holdings. Journal of Financial Economics 48, 359-375] and Li et al. [Li, K., Sarkar, A., Wang, Z., 2003. Diversification benefits of emerging markets subject to portfolio constraints. Journal of Empirical Finance 10, 57-80]. We find significant increases in the Sharpe [Sharpe, W.F., 1966. Mutual fund performance. Journal of Business 39, 119-138] and certainty equivalent return (CER) performance in moving from a domestic strategy to an international strategy that includes either global industry or country equity portfolios, even in the presence of short selling restrictions. We also find significant diversification benefits using U.K. unit trusts with international equity objectives. However, U.K. international unit trusts do not capture all the diversification benefits provided by either global industry or country equity portfolios.
|Keywords:||international diversification, trusts, mean-variance framework, short selling, Commerce, Finance, Economics and Econometrics|
|Subjects:||Social Sciences > Commerce|
|Department:||Strathclyde Business School > Accounting and Finance|
|Depositing user:||Strathprints Administrator|
|Date Deposited:||01 Mar 2008|
|Last modified:||22 Mar 2017 09:42|