The evidence for international diversification as a means to curtail portfolio risk relies predominantly on short-run data. In this paper, we examine the extent to which the risk reduction benefits of international investment hold in the long-run. Employing a multi-horizon non-parametric filter,...

This paper examines cross-country heterogeneity and time-variability in the effects of unconventional monetary policies (UMPs) in advanced economies (AEs) on portfolio inflows to emerging economies (EMEs), with a panel smooth transition regression model. The drivers of the two dimensional...

At the end of fiscal year 2013, the level of investment held by U.S.- based businesses and individuals in assets abroad was US$ 21.9 trillion, and the position held by foreign-based counterparties in the U.S. $ 26.5 trillion (B.E.A., 2014). With volumes that exceed 30% of the world GDP (World...

We examine the rate of return earned by global funds on equity investment in emerging markets (EMs) particularly the role played by sovereign credit risk. Changes in sovereign credit ratings (upgrades/downgrades) influence excess (over risk free rate) returns earned by foreign investors: lower...

We show that international equity mutual funds underweight equity markets with risky currencies and overweight equity markets with less risky ones. This risk-management practice is an important determinant for allocations among foreign equities and can also help explain levels of home bias for...

We show that internationally diversified portfolios carry sizeable political risk premia. We use a tail-risk portfolio selection model to obtain political efficient frontiers from skewed return distributions and manage political risk, and design an inference test to draw conclusions. We find...

Using a sample of 21 developing and developed countries, we analyze whether a well-diversified investor of traditional assets (stocks, bonds, real estate, and commodities) may benefit from investing in cryptocurrencies. Country-specific analyses indicate that cryptocurrencies usually fit in the...

This paper examines the role of common, country and industry effects in international diversification potential in ASEAN stock markets. Following a decomposition approach, we extract these effects from stock returns. We further examine the determinants of country effects using ICRG country risk...

This paper examines the changing correlations between the equity returns of Australia and the emerging equity markets and the tests the volatility, as a factor, that may cause the correlations to change over time. Linear regression estimates of Asymmetric Dynamic Conditional Correlation Model,...

Il lavoro analizza le dinamiche di investimento dei fondi sovrani per paese e per settore nell'arco dell'ultimo ventennio. Il patrimonio gestito dai fondi sovrani è passato da 500 miliardi di dollari nel 1995 a 4,7 trilioni a fine 2011. Sulla base di un dataset specificamente creato, relativo a...