Geographic versus industry diversification: Constraints matter
AbstractThis research addresses whether geographic diversification provides benefits over industry diversification. In the absence of constraints, no empirical evidence is found to support the argument that country diversification is superior. With short-selling constraints, however, the geographic tangency portfolio is not attainable by industry portfolios. Results with upper and lower constraints on portfolio weights as well as an out-of-sample analysis show that geographic diversification almost consistently outperforms industry portfolios, although we cannot establish statistical significance. JEL Classification: G11, G15
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Empirical Finance.
Volume (Year): 13 (2006)
Issue (Month): 4-5 (October)
Contact details of provider:
Web page: http://www.elsevier.com/locate/jempfin
Other versions of this item:
- Ehling, Paul & Ramos, Sofia Brito, 2005. "Geographic versus industry diversification: constraints matter," Working Paper Series 0425, European Central Bank.
- Paul EHLING & Sofia B. RAMOS, 2004. "Geographic Versus Industry Diversification: Contraints Matter," FAME Research Paper Series rp113, International Center for Financial Asset Management and Engineering.
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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