De Moor, Lieven; Sercu, Piet; Vanpée, Rosanne - In: Journal of Empirical Finance 17 (2010) 4, pp. 623-644
We reconsider the costs to international equity investments implied by standard portfolio theory (Cooper and Kaplanis, 1994; Sercu and Vanpée, 2008). Estimated costs are mostly driven by risk estimates, not by asset holdings. For OECD markets, risks are fairly stable and relatively easy to...