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Citations for "Testing for Mean-Variance spanning with short sales constraints and transaction costs: The case of emerging markets"

by Nijman, T.E. & Roon, F.A. de & Werker, B.J.M.

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  1. Galema, Rients & Lensink, Robert & Spierdijk, Laura, 2011. "International diversification and Microfinance," Journal of International Money and Finance, Elsevier, vol. 30(3), pages 507-515, April.
  2. Jianqing Fan & Jingjin Zhang & Ke Yu, 2008. "Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios," Papers 0812.2604, arXiv.org.
  3. Galvani, Valentina & Plourde, Andre, 2009. "Portfolio Diversification in Energy Markets," Working Papers 2009-6, University of Alberta, Department of Economics.
  4. van der Hart, Jaap & de Zwart, Gerben & van Dijk, Dick, 2005. "The success of stock selection strategies in emerging markets: Is it risk or behavioral bias?," Emerging Markets Review, Elsevier, vol. 6(3), pages 238-262, September.
  5. Roon, F.A. de & Nijman, T.E., 1998. "Testing for mean-variance spanning: A survey," Discussion Paper 1998-132, Tilburg University, Center for Economic Research.
  6. Tatiana Didier & Roberto Rigobon & Sergio L. Schmukler, 2013. "Unexploited Gains From International Diversification: Patterns Of Portfolio Holdings Around The World," The Review of Economics and Statistics, MIT Press, vol. 95(5), pages 1562-1583, December.
  7. Thapa, Chandra & Poshakwale, Sunil S., 2012. "Country-specific equity market characteristics and foreign equity portfolio allocation," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 189-211.
  8. Eiling, Esther & Gerard, Bruno & Hillion, Pierre & de Roon, Frans A., 2012. "International portfolio diversification: Currency, industry and country effects revisited," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1249-1278.
  9. Bastien Drut, 2009. "Sovereign Bonds and Socially Responsible Investment," Working Papers CEB 09-014.RS, ULB -- Universite Libre de Bruxelles.
  10. van der Hart, Jaap & Slagter, Erica & van Dijk, Dick, 2003. "Stock selection strategies in emerging markets," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 105-132, February.
  11. Raymond Kan & Guofu Zhou, 2001. "Tests of Mean-Variance Spanning," CEMA Working Papers 539, China Economics and Management Academy, Central University of Finance and Economics.
  12. Thapa, Chandra & Poshakwale, Sunil S., 2010. "International equity portfolio allocations and transaction costs," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2627-2638, November.
  13. Szafarz, Ariane & Brière, Marie, 2011. "Investment in Microfinance Equity : Risk, Return, and Diversification Benefits," Economics Papers from University Paris Dauphine 123456789/7858, Paris Dauphine University.
  14. Jianqing Fan & Yingying Li & Ke Yu, 2012. "Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(497), pages 412-428, March.
  15. Enrique Sentana, 2008. "The Econometrics Of Mean-Variance Efficiency Tests: A Survey," Working Papers wp2008_0807, CEMFI.
  16. Elton, Edwin J. & Gruber, Martin J. & Blake, Christopher R., 2006. "The adequacy of investment choices offered by 401(k) plans," Journal of Public Economics, Elsevier, vol. 90(6-7), pages 1299-1314, August.
  17. Hagelin, Niclas & Pramborg, Bengt, 2004. "Dynamic investment strategies with and without emerging equity markets," Emerging Markets Review, Elsevier, vol. 5(2), pages 193-215, June.
  18. Chiou, Wan-Jiun Paul, 2008. "Who benefits more from international diversification?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 466-482, December.
  19. Wolff, Dominik & Bessler, Wolfgang & Opfer, Heiko, 2012. "Multi-Asset Portfolio Optimization and Out-of-Sample Performance: An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification Approaches," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62020, Verein für Socialpolitik / German Economic Association.
  20. Piti Disyatat & Gaston Gelos, 2001. "The Asset Allocation of Emerging Market Mutual Funds," IMF Working Papers 01/111, International Monetary Fund.
  21. Paul Chiou & Cheng-Few Lee, 2013. "Do investors still benefit from culturally home-biased diversification? An empirical study of China, Hong Kong, and Taiwan," Review of Quantitative Finance and Accounting, Springer, vol. 40(2), pages 341-381, February.
  22. Kouwenberg, Roy & Salomons, Roelof, 2003. "Value investing in emerging markets : local macroeconomic risk and extrapolation," Research Report 03E22, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  23. Tang, Ning & Mitchell, Olivia S. & Mottola, Gary R. & Utkus, Stephen P., 2010. "The efficiency of sponsor and participant portfolio choices in 401(k) plans," Journal of Public Economics, Elsevier, vol. 94(11-12), pages 1073-1085, December.
  24. Galvani, Valentina & Landon, Stuart, 2011. "Riding the Yield Curve: A Spanning Analysis," Working Papers 2011-19, University of Alberta, Department of Economics.
  25. repec:dgr:uvatin:2001009 is not listed on IDEAS
  26. Galvani, Valentina & Plourde, André, 2013. "Spanning with futures contracts," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(1), pages 61-72.
  27. Chiou, Wan-Jiun Paul, 2009. "Benefits of international diversification with investment constraints: An over-time perspective," Journal of Multinational Financial Management, Elsevier, vol. 19(2), pages 93-110, April.
  28. Jiang, Chonghui & Ma, Yongkai & An, Yunbi, 2013. "International portfolio selection with exchange rate risk: A behavioural portfolio theory perspective," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 648-659.
  29. Zhenyu Wang & Asani Sarkar & Kai Li, 1999. "Assessing the impact of short-sale constraints on the gains from international diversification," Staff Reports 89, Federal Reserve Bank of New York.
  30. Schindler, Felix & Kröncke, Tim-Alexander, 2011. "International Diversification with Securitized Real Estate and the Veiling Glare from Currency Risk," Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis 48705, Verein für Socialpolitik / German Economic Association.
  31. Glabadanidis, Paskalis, 2009. "Measuring the economic significance of mean-variance spanning," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 596-616, May.
  32. Galvani, Valentina & Behnamian, Aslan, 2009. "A Comparative Analysis of the Returns on Provincial and Federal Canadian Bonds," Working Papers 2009-7, University of Alberta, Department of Economics.
  33. Bekaert, Geert & Harvey, Campbell R., 2002. "Research in emerging markets finance: looking to the future," Emerging Markets Review, Elsevier, vol. 3(4), pages 429-448, December.
  34. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 3-56, February.
  35. De Santis, Roberto A. & Sarno, Lucio, 2008. "Assessing the benefits of international portfolio diversification in bonds and stocks," Working Paper Series 0883, European Central Bank.
  36. Ning Tang & Olivia S. Mitchell, 2008. "The Efficiency of Pension Plan Investment Menus: Investment Choices in Defined Contribution Pension Plans," Working Papers wp176, University of Michigan, Michigan Retirement Research Center.
  37. Jing-zhi Huang & Zhaodong Zhong, 2013. "Time Variation in Diversification Benefits of Commodity, REITs, and TIPS," The Journal of Real Estate Finance and Economics, Springer, vol. 46(1), pages 152-192, January.
  38. Michael R. Powers & David M. Schizer & Martin Shubik, 2003. "Market Bubbles and Wasteful Avoidance: Tax and Regulatory Constraints on Short Sales," Cowles Foundation Discussion Papers 1413, Cowles Foundation for Research in Economics, Yale University.
  39. Cheung, C. Sherman & Kwan, Clarence C.Y. & Mountain, Dean C., 2009. "On the nature of mean-variance spanning," Finance Research Letters, Elsevier, vol. 6(2), pages 106-113, June.
  40. Gourieroux, C. & Monfort, A., 2005. "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 1-41, January.
  41. de Roon, Frans & Eichholtz, Piet & Koedijk, Kees, 2002. "The Portfolio Implications of Home Ownership," CEPR Discussion Papers 3501, C.E.P.R. Discussion Papers.
  42. Fletcher, Jonathan & Marshall, Andrew, 2005. "An empirical examination of the benefits of international diversification," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(5), pages 455-468, December.