o obtain the maximum benefits from diversification, financial theory suggests that investors should invest internationally because of the larger potential for risk reduction. The question that we raise in this paper is how to select the optimal portfolio of countries? This article synthesizes...

Seit dem Fall des Eisernen Vorhangs im Jahre 1989 befinden sich die zentral-, ost- und süd-osteuropäische Länder in einem Übergang von kommunistischen zu marktwirtschaftlich orientierten Volkswirtschaften. Eng damit verknüpft ist die Entstehung von Börsen für Aktien, die in den letzten...

Assessments of investors’ risk appetite/aversion stance via indicators often yields resultswhich seem unsatisfactory (see e.g. Illing and Aaron (2005)). Understanding howsuch indicators work therefore seems essential for further improvements. The presentpaper seeks to contribute to this...

This paper analyzes diversification benefits from international securitized real estate in a mixed-asset context. We apply regression-based mean-variance efficiency tests, conditional on currency-unhedged and fully hedged portfolios to account for foreign exchange risk exposure. From the...

This paper studies the impact of international capital flows on asset prices through risk premia. We investigate whether foreign purchases of U.S. Treasury securities significantly contributed to the decline in excess returns on long-term bonds between 1995 and 2008. We run forecasting...

Assessments of investors’ risk appetite/aversion stance via indicators often yields results which seem unsatisfactory (see e.g. Illing and Aaron (2005)). Understanding how such indicators work therefore seems essential for further improvements. The present paper seeks to contribute to this...

This paper examines the factors that affect inflows - outflows of capital in bond mutual funds that operated in the Greek market during the period 1997-2005. Investors in bond mutual funds do not seek for high gross returns in order to determine their investment decisions in contrast with...

Der deutsche Aktienmarkt sah sich in den letzten 15 Jahren substantiellen Veränderungen gegenüber, welche unter anderem in eine zunehmende Internationalisierung und deutlich erhöhten Streubesitz mündeten. In der vorliegenden Arbeit untersuchen wir, inwieweit dies die aus klassischen...

The purpose of this study is to assess the diversification benefits resulting from international asset allocation. In this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity returns for 26 countries (18 developed and 8 emerging...

The economic recession of 2007-2009 proved to be a difficult period for most European economies. Poland was among the few countries that recorded positive gross domestic product (GDP) growth during that period. The main reason for its performance was that private consumption stimulated the GDP....