| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24646 |
| 来源ID | Working Paper 24646 |
| Global Portfolio Diversification for Long-Horizon Investors | |
| Luis M. Viceira; Zixuan (Kevin) Wang | |
| 发表日期 | 2018-05-28 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | This paper conducts a theoretical and empirical investigation of global portfolio diversification for long-horizon investors in the presence of permanent cash flow shocks and transitory discount rate shocks to asset prices and returns. An increase in the cross-country correlations of cash flow shocks raises the risk of a globally diversified portfolio at all horizons. By contrast, an increase in the cross-country correlations of discount rate shocks has a muted effect on portfolio risk at long horizons and does not diminish the benefits of global portfolio diversification to long-term investors. Empirically, we find that increased correlations of discount rate shocks resulting from financial globalization appear to be the main driver of an estimated secular increase in the cross-country correlations of both stock and bond returns since the late 1990’s. Increased correlations of inflation shocks are also an important source of the shift in bond correlations. By contrast, we don’t find evidence of an increase in the cross-country correlations of equity cash flow news or stock market volatility shocks. Our findings imply that the benefits of global equity diversification have not declined for long horizon investors despite the secular increase in global stock correlations, while the benefits of global bond diversification have declined. |
| 主题 | International Economics ; International Factor Mobility ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w24646 |
| 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/582320 |
| 推荐引用方式 GB/T 7714 | Luis M. Viceira,Zixuan . Global Portfolio Diversification for Long-Horizon Investors. 2018. |
| 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 | ||
| w24646.pdf（924KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
