International equity U.S. mutual funds and diversification benefits
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Fletcher, Jonathan (2021) International equity U.S. mutual funds and diversification benefits. International Review of Economics and Finance, 76. pp. 246-257. ISSN 1059-0560 (https://doi.org/10.1016/j.iref.2021.06.010)
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Abstract
This study examines whether U.S. international equity mutual funds provide out-of-sample diversification benefits in the presence of no short selling constraints. Ignoring the economic state, international mutual funds do not provide out-of-sample diversification benefits. However international mutual funds do provide out-of-sample diversification benefits in certain economic states. The benefits are concentrated when the lag one-month U.S. Treasury Bill return is lower than normal.
ORCID iDs
Fletcher, Jonathan ORCID: https://orcid.org/0000-0003-0568-9145;-
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Item type: Article ID code: 77492 Dates: DateEvent1 November 2021Published18 June 2021Published Online15 June 2021AcceptedSubjects: Social Sciences > Communities. Classes. Races > Regional economics. Space in economics Department: Strathclyde Business School > Accounting and Finance Depositing user: Pure Administrator Date deposited: 19 Aug 2021 13:27 Last modified: 11 Nov 2024 13:11 URI: https://strathprints.strath.ac.uk/id/eprint/77492
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