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.
- G1 - Financial Economics - - General Financial Markets
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- Albuquerque, Rui & H. Bauer, Gregory & Schneider, Martin, 2009.
"Global private information in international equity markets,"
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Elsevier, vol. 94(1), pages 18-46, October.
- Albuquerque, Rui & Bauer, Gregor H & Schneider, Martin, 2006. "Global Private Information in International Equity Markets," CEPR Discussion Papers 5819, C.E.P.R. Discussion Papers.
- Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004. "Characterizing Asymmetric Information in International Equity Markets," International Finance 0405005, EconWPA.
- Blake, David & Timmermann, Allan G & Tonks, Ian & Wermers, Russ, 2010.
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- Kamel Laaradh, 2007. "« Investir Sur Le Marche Inernational Des Actions A-T-Il Plus D'Effet Sur La Persistance De La Performance Des Fonds ? Illustration Britannique »," Post-Print halshs-00544930, HAL.
- Moosa, Imad A. & Al-Deehani, Talla M., 2009. "The Myth of International Diversification," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 62(3), pages 383-406.
- Nadima El-Hassan & Paul Kofman, 2003. "Tracking Error and Active Portfolio Management," Research Paper Series 98, Quantitative Finance Research Centre, University of Technology, Sydney.
- 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.
- 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.
- 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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