International Asset Allocation with Time-Varying Investment Opportunities
AbstractThis paper analyzes the international equity holdings of a large panel of U.K. pension funds. We model portfolio weights as a function of time-varying conditional moments and find that a substantial part of the evolution in portfolio weights is explained by time-varying conditional expected returns, volatilities, and covariances with domestic equity returns. Estimates of returns from international market timing suggest a net loss of 0.2% per annum for the average fund.
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Bibliographic InfoArticle provided by University of Chicago Press in its journal Journal of Business.
Volume (Year): 78 (2005)
Issue (Month): 1 (January)
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Web page: http://www.journals.uchicago.edu/JB/
Other versions of this item:
- Blake, David & Timmermann, Allan G, 2002. "International Asset Allocation with Time-Varying Investment Opportunities," CEPR Discussion Papers 3464, C.E.P.R. Discussion Papers.
- David Blake & Allan Timmermann, 2002. "International asset allocation with time-varying investment opportunities," LSE Research Online Documents on Economics 24944, London School of Economics and Political Science, LSE Library.
- G1 - Financial Economics - - General Financial Markets
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- Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004. "Characterizing Asymmetric Information in International Equity Markets," International Finance 0405005, EconWPA.
- Manuel Ammann & Andreas Zingg, 2008. "Investment Performance of Swiss Pension Funds and Investment Foundations," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 144(II), pages 153-195, June.
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- Blake, David & Cairns, Andrew & Dowd, Kevin, 2008. "Turning pension plans into pension planes: What investment strategy designers of defined contribution pension plans can learn from commercial aircraft designers," MPRA Paper 33749, University Library of Munich, Germany.
- Albuquerque, Rui & Bauer, Gregor H & Schneider, Martin, 2006.
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CEPR Discussion Papers
5819, C.E.P.R. Discussion Papers.
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- Blake, David & Timmermann, Allan G & Tonks, Ian & Wermers, Russ, 2010.
"Decentralized Investment Management: Evidence from the Pension Fund Industry,"
CEPR Discussion Papers
7679, C.E.P.R. Discussion Papers.
- David Blake & Alberto G. Rossi & Allan Timmermann & Ian Tonks & Russ Wermers, 2013. "Decentralized Investment Management: Evidence from the Pension Fund Industry," Journal of Finance, American Finance Association, vol. 68(3), pages 1133-1178, 06.
- Blake, David & Timmermann, Allan & Tonks, Ian & Wermers, Russ, 2010. "Decentralized investment management: evidence from the pension fund industry," MPRA Paper 35767, University Library of Munich, Germany.
- Fernandez, Pablo & Aguirreamalloa, Javier & Corres, Luis, 2012. "Rentabilidad de los Fondos de Pensiones en España. 2001-2011," IESE Research Papers D/947, IESE Business School.
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