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Type: Relatório
Title: Sector integration and the benefits on global diversification
Author(s)/Inventor(s): Ratner, Mitchell
Leal, Ricardo Pereira Câmara
Abstract: Indisponível.
Abstract: One of the main reasons that financial analysts recommend international investments is that foreign stocks are not highly correlated with U.S. stocks. As world economies become increasingly interrelated, it may become more difficult for investors to achieve effective diversification. This research investigates international stock market correlation, and assesses whether global diversification on a sector basis is beneficial to U.S. investors. This analysis includes 38 developed and emerging stock markets from 1981-2000. In addition to demonstrating a potential loss of diversification benefits, this paper utilizes an optimal global asset allocation model to illustrate the effects of sector diversification on portfolio performance over time. The results indicate that although the correlation between most foreign sectors and U.S. sectors is increasing over time, there are still substantial international diversification benefits. Further, the inclusion of emerging market sectors significantly enhances the return-to-risk performance of international portfolios.
Keywords: Finanças
Working paper
Production unit: Instituto COPPEAD de Administração
Publisher: Universidade Federal do Rio de Janeiro
In: Relatórios COPPEAD
Issue: 354
Issue Date: 2001
Publisher country: Brasil
Language: eng
Right access: Acesso Aberto
ISBN: 8575080350
ISSN: 1518-3335
Citation: RATNER, Mitchell; LEAL, Ricardo Pereira Câmara. Sector integration and the benefits on global diversification. Rio de Janeiro: UFRJ, 2001. 27 p. (Relatórios COPPEAD, 354).
Appears in Collections:Relatórios

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