| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16629 |
| 来源ID | Working Paper 16629 |
| Unexploited Gains from International Diversification: Patterns of Portfolio Holdings Around the World | |
| Tatiana Didier; Roberto Rigobon; Sergio L. Schmukler | |
| 发表日期 | 2010-12-23 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | This paper studies how portfolios with a global investment scope are actually allocated internationally using a unique micro dataset on U.S. equity mutual funds. While mutual funds have great flexibility to invest globally, they invest in a surprisingly limited number of stocks, around 100. The number of holdings in stocks and countries from a given region declines as the investment scope of funds broadens. This restrictive investment practice has costs. A mean-variance strategy shows unexploited gains from further international diversification. Mutual funds investing globally could achieve better risk-adjusted returns by broadening their asset allocation, including stocks held by more specialized funds within the same mutual fund family (company). This investment pattern is not explained by lack of information or instruments, transaction costs, or a better ability of global funds to minimize negative outcomes. Instead, industry practices related to organizational factors seem to play an important role. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Industrial Organization ; Firm Behavior |
| URL | https://www.nber.org/papers/w16629 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574304 |
| 推荐引用方式 GB/T 7714 | Tatiana Didier,Roberto Rigobon,Sergio L. Schmukler. Unexploited Gains from International Diversification: Patterns of Portfolio Holdings Around the World. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w16629.pdf（626KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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