Sources of Gains from International Portfolio Diversification
AbstractThis Paper looks at the determinants of country- and industry-specific factors in international portfolio returns using a sample of 36 countries and 39 industries over the last three decades. Country factors have remained relatively stable over the sample period while industry factors have significantly increased during the last decade. The importance of industry and country factors is correlated with measures of international economic and financial integration and development. Country factors are smaller for countries integrated in world financial markets and have declined as the degree of financial integration and the number of countries pursuing financial liberalizations has increased. Higher international financial integration within an industry increases the importance of industry factors in explaining returns. Economic integration of production also helps in explaining returns. Countries with a more specialized production activity have higher country factors.
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Bibliographic InfoPaper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 4390.
Date of creation: May 2004
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Other versions of this item:
- Campa, Jose Manuel & Fernandes, Nuno, 2006. "Sources of gains from international portfolio diversification," Journal of Empirical Finance, Elsevier, vol. 13(4-5), pages 417-443, October.
- Campa, Jose M. & Fernandes, Nuno, 2004. "Sources of gains from international portfolio diversification," IESE Research Papers D/559, IESE Business School.
- F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
- G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies
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