This study aims at assessing the risk-return profile of stock portfolios by different levels of the foreign ownership ratio. The paper also evaluates the performance of portfolios by their size and the book-to-market ratio (BTM). In this study, we apply GMM approach with the data computed from...

Japanese investors maybe considering adding emerging market (EM) equities to their portfolios. What type of baseline EM exposure might be most suitable for Japanese investors? Given recent improvements in benchmark technology, more extensive data coverage, and empirical research in the...