全球智库信息集成服务系统(G2TT): International Portfolio Diversification and Multilateral Effects of Correlations

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w17907
来源ID	Working Paper 17907
	International Portfolio Diversification and Multilateral Effects of Correlations
	Paul R. Bergin; Ju Hyun Pyun
发表日期	2012-03-08
出版年	2012
语种	英语
摘要	Not only are investors biased toward home assets, but when they do invest abroad, they appear to favor countries with returns more correlated with home assets. Often attributed to a preference for familiarity, this ‘correlation puzzle’ further reduces effective diversification. However, a multi-country DSGE model of portfolio choice makes clear that the effects of a bilateral stock return correlation must be studied in the context of the full covariance structure. For example, the attractiveness of a foreign country as a hedge depends upon its hedging potential relative to other potential destination countries. This paper develops a new empirical approach based upon a multi-country theoretical model that controls for the full covariance structure in a theoretically rigorous yet tractable manner. Estimation under this approach overturns the correlation puzzle, and finds that international investors do seek the diversification benefits of low cross-country correlations as theory would predict. Since covariances are central to modern theories of portfolio choice, this empirical methodology should be useful also for other applications.
主题	International Economics ; International Finance ; International Macroeconomics ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets
URL	https://www.nber.org/papers/w17907
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/575583
推荐引用方式 GB/T 7714	Paul R. Bergin,Ju Hyun Pyun. International Portfolio Diversification and Multilateral Effects of Correlations. 2012.

条目包含的文件
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w17907.pdf（1212KB）	智库出版物		限制开放	CC BY-NC-SA	浏览