File Download
  Links for fulltext
     (May Require Subscription)
Supplementary

Article: International diversification with large- and small-cap stocks

TitleInternational diversification with large- and small-cap stocks
Authors
Issue Date2008
PublisherCambridge 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?
AbstractTo 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 Identifierhttp://hdl.handle.net/10722/157720
ISSN
2015 Impact Factor: 1.628
2015 SCImago Journal Rankings: 2.998
SSRN
References

 

DC FieldValueLanguage
dc.contributor.authorEun, CSen_HK
dc.contributor.authorHuang, Wen_HK
dc.contributor.authorLai, Sen_HK
dc.date.accessioned2012-08-08T08:54:54Z-
dc.date.available2012-08-08T08:54:54Z-
dc.date.issued2008en_HK
dc.identifier.citationJournal Of Financial And Quantitative Analysis, 2008, v. 43 n. 2, p. 489-524en_HK
dc.identifier.issn0022-1090en_HK
dc.identifier.urihttp://hdl.handle.net/10722/157720-
dc.description.abstractTo 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.languageengen_US
dc.publisherCambridge University Press. The Journal's web site is located at http://journals.cambridge.org/action/displayJournal?jid=jfqen_HK
dc.relation.ispartofJournal of Financial and Quantitative Analysisen_HK
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.titleInternational diversification with large- and small-cap stocksen_HK
dc.typeArticleen_HK
dc.identifier.emailLai, S: sandy_lai@hku.hken_HK
dc.identifier.authorityLai, S=rp01620en_HK
dc.description.naturepublished_or_final_versionen_US
dc.identifier.doi10.1017/S0022109000003604-
dc.identifier.scopuseid_2-s2.0-46849106506en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-46849106506&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume43en_HK
dc.identifier.issue2en_HK
dc.identifier.spage489en_HK
dc.identifier.epage524en_HK
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.ssrn932961-
dc.identifier.scopusauthoridEun, CS=7004074630en_HK
dc.identifier.scopusauthoridHuang, W=36079129500en_HK
dc.identifier.scopusauthoridLai, S=15127185200en_HK

Export via OAI-PMH Interface in XML Formats


OR


Export to Other Non-XML Formats