We construct a global portfolio investment network by employing network analysis and using bilateral cross-border portfolio holdings data and show that a country's network centrality within this global network has a positive relationship with stock market co-movement. Moreover, network...

We propose a new investment strategy employing “factor funds” to systematically enhance the mean-variance efficiency of international diversification. Our approach is motivated by the increasing evidence that size (SMB), book-to-market (HML), and momentum (MOM) factors, along with the market...