Correlation of International Stock Returns and the Benefits from Diversification PDF Download
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Author: Chue Timothy K.
Publisher:
ISBN:
Category : Equilibrium (Economics)
Languages : en
Pages : 32
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Book Description
Author: Chue Timothy K.
Publisher:
ISBN:
Category : Equilibrium (Economics)
Languages : en
Pages : 32
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Book Description
Author: Francois-Serge Lhabitant
Publisher: Elsevier
ISBN: 0081017863
Category : Mathematics
Languages : en
Pages : 276
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Book Description
Portfolio Diversification provides an update on the practice of combining several risky investments in a portfolio with the goal of reducing the portfolio's overall risk. In this book, readers will find a comprehensive introduction and analysis of various dimensions of portfolio diversification (assets, maturities, industries, countries, etc.), along with time diversification strategies (long term vs. short term diversification) and diversification using other risk measures than variance. Several tools to quantify and implement optimal diversification are discussed and illustrated. - Focuses on portfolio diversification across all its dimensions - Includes recent empirical material that was created and developed specifically for this book - Provides several tools to quantify and implement optimal diversification
Author: Martin Feldstein
Publisher: University of Chicago Press
ISBN: 0226241807
Category : Business & Economics
Languages : en
Pages : 500
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Book Description
Recent changes in technology, along with the opening up of many regions previously closed to investment, have led to explosive growth in the international movement of capital. Flows from foreign direct investment and debt and equity financing can bring countries substantial gains by augmenting local savings and by improving technology and incentives. Investing companies acquire market access, lower cost inputs, and opportunities for profitable introductions of production methods in the countries where they invest. But, as was underscored recently by the economic and financial crises in several Asian countries, capital flows can also bring risks. Although there is no simple explanation of the currency crisis in Asia, it is clear that fixed exchange rates and chronic deficits increased the likelihood of a breakdown. Similarly, during the 1970s, the United States and other industrial countries loaned OPEC surpluses to borrowers in Latin America. But when the U.S. Federal Reserve raised interest rates to control soaring inflation, the result was a widespread debt moratorium in Latin America as many countries throughout the region struggled to pay the high interest on their foreign loans. International Capital Flows contains recent work by eminent scholars and practitioners on the experience of capital flows to Latin America, Asia, and eastern Europe. These papers discuss the role of banks, equity markets, and foreign direct investment in international capital flows, and the risks that investors and others face with these transactions. By focusing on capital flows' productivity and determinants, and the policy issues they raise, this collection is a valuable resource for economists, policymakers, and financial market participants.
Author: Sarkis J. Khoury
Publisher: North Holland
ISBN: 9780444886262
Category : Banks and banking
Languages : en
Pages : 524
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Book Description
This book contains theoretical and applied papers dealing with issues at the cutting edge of international banking and finance. Some of these papers were presented at the fifth symposium on International Banking and Finance held in Baden Baden, Germany, April 1990, organized by The Foundation for Research in International Banking and Finance (FBRIF). The symposium was decidedly focused on Eastern Europe and Western Europe after 1991 and represented a balance between academic and nonacademic presentations. In addition to these lectures, more papers within this scope are published in the book. The book constitutes excellent material for academic or advanced training courses in international banking and finance. It can be used as a source of authoritative information on the frontiers of international banking research.
Author: Seungho Jung
Publisher: International Monetary Fund
ISBN: 1557759677
Category : Business & Economics
Languages : en
Pages : 36
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Book Description
We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the occurrence of nuclear tests, missile launches, or military confrontations, and decreases significantly around the times of summit meetings or multilateral talks. Using firm-level data, we find that heightened geopolitical risk reduces stock returns, and that the reductions in stock returns are greater especially for large firms, firms with a higher share of domestic investors, and for firms with a higher ratio of fixed assets to total assets. These results suggest that international portfolio diversification and investment irreversibility are important channels through which geopolitical risk affects stock returns.
Author: Sebastien Page
Publisher: McGraw Hill Professional
ISBN: 1260474887
Category : Business & Economics
Languages : en
Pages : 256
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Book Description
Generate solid, long-term profits with a portfolio allocated for your investing needs Asset allocation is the key to investing performance. Unfortunately, no single approach works perfectly—developing the right balance requires a clear-eyed look at the many models available to you, various investing methodologies, and your or your client’s level of risk tolerance. And that’s where this important guide comes in. Written by a leading allocation expert from T. Rowe Price, Beyond Diversification provides the knowledge, insights, and approaches you need to make the best allocation decisions for your goals. This deep dive into the how’s and why’s of asset allocation is organized by the three decisive components of a successfully allocated portfolio: Return Forecasting discusses the desired return investors seek. Risk Forecasting covers the level of risk investors are prepared to assume to achieve that return. Portfolio Construction calibrates the stock-bond mix that balances the risks and returns. With examples from T. Rowe Price’s asset allocation team showing you how the process works in the real world, Beyond Diversification provides everything you need to find the asset combination that will deliver the results you seek. You’ll learn how to choose the right tradeoffs, build the most effective asset allocation combination for your needs, and dramatically increase your odds of success for the long run.
Author: Andrew Ang
Publisher: Oxford University Press
ISBN: 019938231X
Category : Business & Economics
Languages : en
Pages : 717
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Book Description
In Asset Management: A Systematic Approach to Factor Investing, Professor Andrew Ang presents a comprehensive, new approach to the age-old problem of where to put your money. Years of experience as a finance professor and a consultant have led him to see that what matters aren't asset class labels, but instead the bundles of overlapping risks they represent. Factor risks must be the focus of our attention if we are to weather market turmoil and receive the rewards that come with doing so. Clearly written yet full of the latest research and data, Asset Management is indispensable reading for trustees, professional money managers, smart private investors, and business students who want to understand the economics behind factor risk premiums, to harvest them efficiently in their portfolios, and to embark on the search for true alpha.
Author: Frank J. Fabozzi
Publisher: John Wiley & Sons
ISBN: 0471445657
Category : Business & Economics
Languages : en
Pages : 914
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Book Description
Expert advice that applies the theory and practice of investment management to today's financial environment The changing nature and rapid growth of the investment management industry, along with new theoretical developments in the field of finance, have led to a need for higher quality investment management practices and better qualified professionals. The Theory and Practice of Investment Management recognizes these needs and addresses them with sharp, innovative insights from some of the most respected experts in the field of investment management. The Theory and Practice of Investment Management discusses and describes the full scope of investment products and strategies available in today's market. Led by financial experts Frank Fabozzi and Harry Markowitz, the contributors to this book are active, successful practitioners with hands-on expertise. By combining real-world financial knowledge with investment management theory, this book provides a complete analysis of all pertinent investment products-including hedge funds and private equity-and explores a wide range of investment strategies. Tying together theoretical advances in investment management with actual applications, this book gives readers an opportunity to use proven investment management techniques to protect and grow a portfolio under many different circumstances.
Author: Sharma, Renuka
Publisher: IGI Global
ISBN: 1668455307
Category : Business & Economics
Languages : en
Pages : 496
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Book Description
For the first time since the Great Depression, financial market issues threatened to derail global economic growth. This global financial crisis forced a reconsideration of systemic vulnerabilities with knowledge of numerous investment options and portfolio management strategies becoming more critical than ever before. A complete study of investment choices and portfolio management approaches in both the developing and developed worlds is required to achieve stability and sustainability. The Handbook of Research on Stock Market Investment Practices and Portfolio Management gives a thorough view on the recent developments in investment options and portfolio management strategies in global stock markets. Learning about the many investment options and portfolio management strategies available in the event of a worldwide catastrophe is critical. Covering topics such as AI-based technical analysis, marketing theory, and sharing economy, this major reference work is an excellent resource for investors, traders, economists, business leaders and executives, marketers, students and faculty of higher education, librarians, researchers, and academicians.
Author: Michala Rudorfer
Publisher: GRIN Verlag
ISBN: 3640312716
Category : Business & Economics
Languages : en
Pages : 96
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Book Description
Diploma Thesis from the year 2007 in the subject Business economics - Investment and Finance, grade: 1,0, European Business School - International University Schloß Reichartshausen Oestrich-Winkel, language: English, abstract: In a time of tremendous advances in technology, it seems striking why the location of corporate headquarters should matter for the firm’s stock return. At first glance, low information and communication costs are thought to facilitate the interaction between market participants all around the world and, thus, deem the role of geographical loca-tion as marginal. This reasoning, however, does not take investors’ behavior into ac-count. Even if over the past decades, international capital markets have widely been liberalized and the variety of investment opportunities across countries has grown substantially, many investors do not take the risk reduction potential of foreign assets into considera-tion. Despite the extensive benefits of international diversification, investors still over-weight domestic and local assets in their portfolios. Although this home bias has drawn much academic attention and its existence is commonly accepted, a satisfactory ration-ale could not yet be obtained. Further, the resulting economic implications for asset pricing remain unexplored. Yet, locality could be highly relevant for cost of capital cal-culation, asset allocation and performance evaluation.1 As a result, it is of crucial importance to investigate the relationship between portfolio holdings of investors and stock pricing patterns to shed light on a potential geographical component of asset pricing. The lack of academic research motivates to explore this area in greater detail. The purpose of this thesis is to fill the existing gap and establish a link between local bias and asset pricing. Therefore, a detailed overview of the home bias puzzle as well as of local asset pricing is presented. The economic impact of local bias on stock returns is empirically investigated. Thus, the key question of the analysis is whether the location of corporate headquarters has an impact on stock returns attributable to the local bias of investors.
