Goetzmann, William N.; Li, Lingfeng; Rouwenhorst, K. Geert - In: The Journal of Business 78 (2005) 1, pp. 1-38
The correlation structure of the world equity markets varied considerably over the past 150 years and was high during periods of economic integration. We decompose diversification benefits into two parts: one component due to variation in the average correlation across markets, and a another...