Do IPO index portfolios improve the investment opportunities for mean–variance investors?

Finance Research Letters - Tập 6 - Trang 159-170 - 2009
Hsuan-Chi Chen1, Keng-Yu Ho2
1Anderson School of Management, University of New Mexico, Albuquerque, NM 87131, USA
2Department of Finance, National Taiwan University, Taipei 106, Taiwan

Tài liệu tham khảo

Bekaert, 1996, Diversification, integration and emerging market closed-end funds, Journal of Finance, 51, 835, 10.2307/2329224 Cheung, 2009, On the nature of mean–variance spanning, Finance Research Letters, 6, 106, 10.1016/j.frl.2008.12.003 DeRoon, 2001, Testing for mean–variance spanning: a survey, Journal of Empirical Finance, 8, 111, 10.1016/S0927-5398(01)00022-6 Eun, 2008, International diversification with large- and small-cap stocks, Journal of Financial and Quantitative Analysis, 43, 489, 10.1017/S0022109000003604 Fama, 1992, The cross-sectional of expected returns, Journal of Finance, 47, 427, 10.2307/2329112 Fama, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics, 33, 3, 10.1016/0304-405X(93)90023-5 Huang, C.F., Litzenberger, R, 1988. Foundations for Financial Economics, North Holland. Huberman, 1987, Mean–variance Spanning, Journal of Finance, 42, 873, 10.2307/2328296 Ingersoll, 1987 Kan, R., Zhou, G., 2001. Test of Mean–variance Spanning. Working Paper, University of Toronto, Toronto, Canada. Markowitz, 1952, Portfolio selection, Journal of Finance, 7, 77, 10.2307/2975974 Ritter, 2002, A review of IPO activity, pricing and allocations, Journal of Finance, 57, 1795, 10.1111/1540-6261.00478 Sharpe, 1994, The Sharpe ratio, Journal of Portfolio Management, 20, 47