Do ETFs provide effective international diversification?
Tài liệu tham khảo
Amadi, A., 2004. Equity home bias: a disappearing phenomenon. Unpublished Working Paper.
Andrews, 2003, Testing when a parameter is on the boundary of the maintained hypothesis, Econometrica, 69, 683, 10.1111/1468-0262.00210
Bailey, 1992, Evaluating the diversification benefits of the new country funds, J. Portfolio Manage., 18, 74, 10.3905/jpm.1992.409405
Bali, 2000, Testing the empirical performance of stochastic volatility models of the short-term interest rate, J. Financ. Quant. Anal., 35, 215, 10.2307/2676190
Berrill, 2010, Firm-level analysis of the international diversification of small integrated stock markets: Ireland 1999–2007, Res. Int. Bus. Finance, 24, 172, 10.1016/j.ribaf.2009.11.003
Berril, 2010, International diversification and the home bias puzzle, J. Econ. Bus., 62, 235, 10.1016/j.jeconbus.2010.02.002
Campbell, 2001, Optimal portfolio selection in a Value-at-Risk framework, J. Bank. Finance, 25, 1789, 10.1016/S0378-4266(00)00160-6
Chang, 1995, International diversification through closed-end country funds, J. Bank. Finance, 19, 1237, 10.1016/0378-4266(94)00122-J
Chou, 1997, A test of relative efficiency between two sets of securities, Appl. Financ. Econ., 7, 193, 10.1080/096031097333754
Dembo, 1997, Value at risk and return, Electron. J. Financ. Risk
Doran, J.S., Peterson, D.R., Boney, V., 2006. The effect of the Spider Exchange Traded Fund on the cash flow of funds of S&P index mutual funds. Working Paper.
Dowd, 1998
Dowd, 1999, A value at risk approach to risk-return analysis, J. Portfolio Manage., 25, 60, 10.3905/jpm.1999.319755
Goetzmann, 1999, Global stock markets in the twentieth century, J. Finance, 54, 953, 10.1111/0022-1082.00133
Grubel, 1968, Internationally diversified portfolios: welfare gains and capital flows, Am. Econ. Rev., 58, 1299
Harvey, 1995, Predictable risk and returns in emerging markets, Rev. Financ. Stud., 8, 773, 10.1093/rfs/8.3.773
Hodges, 1998
Ingersoll, 1987
Johnson, 1993, Closed-end country funds: exchange rate and investment risk, Financ. Anal. J., 49, 74, 10.2469/faj.v49.n6.74
Lessard, 1976, World, country and industry relationships in equity returns: implications for risk reduction through international diversification, Financ. Anal. J., 32, 32, 10.2469/faj.v32.n1.32
Levy, 1970, International diversification of investment portfolios, Am. Econ. Rev., 60, 668
Meric, 1989, Potential gains from international portfolio diversification and inter-temporal stability and seasonality in international stock market relationships, J. Bank. Finance, 13, 627, 10.1016/0378-4266(89)90034-4
Patro, 2001, Market segmentation and international asset prices: evidence from the listing of world equity benchmark shares, J. Financ. Res., 24, 83, 10.1111/j.1475-6803.2001.tb00819.x
Pennathur, 2002, Diversification benefits of iShares and closed-end country funds, J. Financ. Res., 25, 541, 10.1111/1475-6803.00036
Poterba, 2002, Exchange-traded funds: a new investment option for taxable investors, Am. Econ. Rev., 92, 422, 10.1257/000282802320191732
Rowland, 2004, Multinationals and the gains from international diversification, Rev. Econ. Dyn., 7, 78, 10.1016/j.red.2004.05.001
Sharpe, 1966, Mutual fund performance, J. Bus., 39, 119, 10.1086/294846
Solink, 1974, The international pricing of risk: an empirical investigation of the world capital market structure, J. Econ. Theory, 29, 365
Solnik, 1996, International market correlation and volatility, Financ. Anal. J., 52, 17, 10.2469/faj.v52.n5.2021
Tsai, 2009, The comparative role of iShares and country funds in internationally diversified portfolios, J. Econ. Bus., 61, 472, 10.1016/j.jeconbus.2009.06.003
Turner, 2008, ETF assets to pass $1 trillion, Wealth Bull.