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Article: International diversification with large- and small-cap stocks
Title | International diversification with large- and small-cap stocks |
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Authors | |
Issue Date | 2008 |
Publisher | Cambridge University Press. The Journal's web site is located at http://journals.cambridge.org/action/displayJournal?jid=jfq |
Citation | Journal Of Financial And Quantitative Analysis, 2008, v. 43 n. 2, p. 489-524 How to Cite? |
Abstract | To the extent that investors diversify internationally, large-cap stocks receive the dominant share of fund allocation. Increasingly, however, returns to large-cap stocks or stock market indices tend to comove, mitigating the benefits from international diversification. In contrast, stocks of locally oriented, small companies do not exhibit the same tendency. In this paper, we assess the potential of small-cap stocks as a vehicle for international portfolio diversification during the period 1980-1999. We show that the extra gains from the augmented diversification with small-cap funds are statistically significant for both in-sample and out-of-sample periods and remain robust to the consideration of market frictions. |
Persistent Identifier | http://hdl.handle.net/10722/157720 |
ISSN | 2023 Impact Factor: 3.7 2023 SCImago Journal Rankings: 3.980 |
SSRN | |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
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dc.contributor.author | Eun, CS | en_HK |
dc.contributor.author | Huang, W | en_HK |
dc.contributor.author | Lai, S | en_HK |
dc.date.accessioned | 2012-08-08T08:54:54Z | - |
dc.date.available | 2012-08-08T08:54:54Z | - |
dc.date.issued | 2008 | en_HK |
dc.identifier.citation | Journal Of Financial And Quantitative Analysis, 2008, v. 43 n. 2, p. 489-524 | en_HK |
dc.identifier.issn | 0022-1090 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/157720 | - |
dc.description.abstract | To the extent that investors diversify internationally, large-cap stocks receive the dominant share of fund allocation. Increasingly, however, returns to large-cap stocks or stock market indices tend to comove, mitigating the benefits from international diversification. In contrast, stocks of locally oriented, small companies do not exhibit the same tendency. In this paper, we assess the potential of small-cap stocks as a vehicle for international portfolio diversification during the period 1980-1999. We show that the extra gains from the augmented diversification with small-cap funds are statistically significant for both in-sample and out-of-sample periods and remain robust to the consideration of market frictions. | en_HK |
dc.language | eng | en_US |
dc.publisher | Cambridge University Press. The Journal's web site is located at http://journals.cambridge.org/action/displayJournal?jid=jfq | en_HK |
dc.relation.ispartof | Journal of Financial and Quantitative Analysis | en_HK |
dc.title | International diversification with large- and small-cap stocks | en_HK |
dc.type | Article | en_HK |
dc.identifier.email | Lai, S: sandy_lai@hku.hk | en_HK |
dc.identifier.authority | Lai, S=rp01620 | en_HK |
dc.description.nature | published_or_final_version | en_US |
dc.identifier.doi | 10.1017/S0022109000003604 | - |
dc.identifier.scopus | eid_2-s2.0-46849106506 | en_HK |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-46849106506&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 43 | en_HK |
dc.identifier.issue | 2 | en_HK |
dc.identifier.spage | 489 | en_HK |
dc.identifier.epage | 524 | en_HK |
dc.identifier.isi | WOS:000256586600009 | - |
dc.publisher.place | United Kingdom | en_HK |
dc.identifier.ssrn | 932961 | - |
dc.identifier.scopusauthorid | Eun, CS=7004074630 | en_HK |
dc.identifier.scopusauthorid | Huang, W=36079129500 | en_HK |
dc.identifier.scopusauthorid | Lai, S=15127185200 | en_HK |
dc.identifier.issnl | 0022-1090 | - |