全球智库信息集成服务系统(G2TT): Are the Gains from Foreign Diversification Diminishing? Assessing the Impact with Cross-listed Stocks

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w18627
来源ID	Working Paper 18627
	Are the Gains from Foreign Diversification Diminishing? Assessing the Impact with Cross-listed Stocks
	Karen K. Lewis; Sandy Lai
发表日期	2012-12-21
出版年	2012
语种	英语
摘要	How important is foreign diversification? In this paper, we re-examine this question motivated by findings from the literature about foreign companies that are listed on US exchanges. Specifically, domestic portfolios including cross-listed stocks can provide the same diversification as foreign market returns without the need for US investors to go abroad. At the same time, the betas of these foreign stock returns against the US market increase after cross-listing, suggesting diversification worsens over time. In this paper, we assess the impact of these changes on foreign diversification for a US investor. We test for and estimate breaks in the sensitivity of individual foreign stocks listed on US exchanges. We find that roughly half of the changes in betas arise from greater integration between the U.S. and the companies' home markets, not in the companies betas themselves. Moreover, the gains from diversifying into these stocks has declined over time.
主题	Econometrics ; Estimation Methods ; International Economics ; International Finance ; Financial Economics ; Financial Markets
URL	https://www.nber.org/papers/w18627
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/576302
推荐引用方式 GB/T 7714	Karen K. Lewis,Sandy Lai. Are the Gains from Foreign Diversification Diminishing? Assessing the Impact with Cross-listed Stocks. 2012.

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
w18627.pdf（850KB）	智库出版物		限制开放	CC BY-NC-SA	浏览