changes in the risk and term structures of interest rates. The impacts of these variables on equity REIT returns is around 60 … risky than stocks generally, but does not offer a superior risk-adjusted return and is not a hedge against unexpected …

would imply about the diversification potential across countries. For this purpose, I examine two basic groups of … group since this is the standard approach in the international diversification literature, while I study the second group … since some have argued that US-listed foreign stocks are the more natural diversification vehicle (Errunza et al (1999)). In …

Using an extensive new data set on U.S. and U.K.-traded closed- end funds, we examine the diversification benefits from … emerging equity markets and the extent of their integration with global capital markets. To measure diversification benefits … significant diversification benefits for the U.K. country funds, but not for the U.S. funds. The difference appears to relate to …

The benefits of international diversification have been recognized for decades. In spite of this, most investors hold … domestic equity market to be several hundred basis points higher than returns in other markets. This lack of diversification …

the dynamics of the price of risk or the conditional moments. Empirical evidence is somewhat more consistent with a …