This paper explores empirically whether Asian investors, and in particular foreign reserve managers, respond to capital gains or losses by rebalancing their portfolios of US Treasury securities. For a sample of 10 Asian countries from 1990 to end 2004, we find that capital losses, stemming from...

"This paper examines the impact of short-sale constraints on the magnitude of international diversification benefit for U.S. investors during the period of 1976-1998. The diversification benefit is measured as the increase in expected return when switching from the U.S. equity index portfolio to...