Sector integration and the benefits on global diversification
Autor(a) principal: | |
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Data de Publicação: | 2001 |
Outros Autores: | |
Tipo de documento: | Relatório |
Idioma: | eng |
Título da fonte: | Repositório Institucional da UFRJ |
Texto Completo: | http://hdl.handle.net/11422/9244 |
Resumo: | 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. |
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Sector integration and the benefits on global diversificationFinançasDiversificaçãoBenefíciosWorking paperCNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAOOne 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.Indisponível.Universidade Federal do Rio de JaneiroBrasilInstituto COPPEAD de AdministraçãoUFRJ2019-08-29T17:35:18Z2023-12-21T03:00:33Z2001info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/reportRATNER, Mitchell; LEAL, Ricardo Pereira Câmara. Sector integration and the benefits on global diversification. Rio de Janeiro: UFRJ, 2001. 27 p. (Relatórios COPPEAD, 354).85750803501518-3335http://hdl.handle.net/11422/9244engRelatórios COPPEADRatner, MitchellLeal, Ricardo Pereira Câmarainfo:eu-repo/semantics/openAccessreponame:Repositório Institucional da UFRJinstname:Universidade Federal do Rio de Janeiro (UFRJ)instacron:UFRJ2023-12-21T03:00:33Zoai:pantheon.ufrj.br:11422/9244Repositório InstitucionalPUBhttp://www.pantheon.ufrj.br/oai/requestpantheon@sibi.ufrj.bropendoar:2023-12-21T03:00:33Repositório Institucional da UFRJ - Universidade Federal do Rio de Janeiro (UFRJ)false |
dc.title.none.fl_str_mv |
Sector integration and the benefits on global diversification |
title |
Sector integration and the benefits on global diversification |
spellingShingle |
Sector integration and the benefits on global diversification Ratner, Mitchell Finanças Diversificação Benefícios Working paper CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO |
title_short |
Sector integration and the benefits on global diversification |
title_full |
Sector integration and the benefits on global diversification |
title_fullStr |
Sector integration and the benefits on global diversification |
title_full_unstemmed |
Sector integration and the benefits on global diversification |
title_sort |
Sector integration and the benefits on global diversification |
author |
Ratner, Mitchell |
author_facet |
Ratner, Mitchell Leal, Ricardo Pereira Câmara |
author_role |
author |
author2 |
Leal, Ricardo Pereira Câmara |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Ratner, Mitchell Leal, Ricardo Pereira Câmara |
dc.subject.por.fl_str_mv |
Finanças Diversificação Benefícios Working paper CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO |
topic |
Finanças Diversificação Benefícios Working paper CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO |
description |
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. |
publishDate |
2001 |
dc.date.none.fl_str_mv |
2001 2019-08-29T17:35:18Z 2023-12-21T03:00:33Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/report |
format |
report |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
RATNER, Mitchell; LEAL, Ricardo Pereira Câmara. Sector integration and the benefits on global diversification. Rio de Janeiro: UFRJ, 2001. 27 p. (Relatórios COPPEAD, 354). 8575080350 1518-3335 http://hdl.handle.net/11422/9244 |
identifier_str_mv |
RATNER, Mitchell; LEAL, Ricardo Pereira Câmara. Sector integration and the benefits on global diversification. Rio de Janeiro: UFRJ, 2001. 27 p. (Relatórios COPPEAD, 354). 8575080350 1518-3335 |
url |
http://hdl.handle.net/11422/9244 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Relatórios COPPEAD |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Universidade Federal do Rio de Janeiro Brasil Instituto COPPEAD de Administração UFRJ |
publisher.none.fl_str_mv |
Universidade Federal do Rio de Janeiro Brasil Instituto COPPEAD de Administração UFRJ |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional da UFRJ instname:Universidade Federal do Rio de Janeiro (UFRJ) instacron:UFRJ |
instname_str |
Universidade Federal do Rio de Janeiro (UFRJ) |
instacron_str |
UFRJ |
institution |
UFRJ |
reponame_str |
Repositório Institucional da UFRJ |
collection |
Repositório Institucional da UFRJ |
repository.name.fl_str_mv |
Repositório Institucional da UFRJ - Universidade Federal do Rio de Janeiro (UFRJ) |
repository.mail.fl_str_mv |
pantheon@sibi.ufrj.br |
_version_ |
1815455994356957184 |