This paper investigates empirically how returns and volatilities correlated between Tokyo and New York stock indices (Nikkei 225 and s&p500). First, intradaily data are used, so that daytime and overnight returns are defined for both markets. Tokyo daytime hours overlap with New York overnight...

Increasing correlation among international equity markets has prompted investors to seek new investment opportunities. To shed light on this issue for U.S. investors, this paper measures economic benefits of international equity diversification using mean-variance and higher-moments frameworks...

The emergence of tactical allocation and factor timing strategies has prompted professionals to devise various means of measuring tactical and timing skills. This paper proposes a new measure, based on the new cash flows into and out of asset segments of the portfolio, which can easily be...

Given recent changes in sector and style risk and in manager betting behavior in the global equity markets, we analyzed the relative importance of the major active-risk drivers and the implications of their relative importance for global multimanager portfolio construction. Using cross-sectional...

Does the increasing trend of the globalization of equity markets increase price volatility and correlations of international stock returns by propagating a mistake in one market to another market? This paper provides new insights into this issue by examining whether such a transmission of...

Over the past decade, investors and financial advisors have shown renewed interest in increasing international equity exposure. Investors confront one of two key issues in making decisions on their strategic allocations, depending on the starting point of their portfolios: 1) for a U.S.-only...