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Article: International Diversification through Closed End Country Funds

TitleInternational Diversification through Closed End Country Funds
Authors
Issue Date1995
Citation
Journal of Banking and Finance, 1995, v. 19, n. 7, p. 1237-1263 How to Cite?
AbstractThe primary objectives of this paper are to assess the potential of closed-end country funds (CECFs) as vehicles for achieving international diversification at 'home' and to examine the effect of the closed-end status of these funds on their investment characteristics. The main findings are: First, CECFs exhibit significant exposure to the U.S. market factor and act more like U.S. securities than do their underlying assets. Second, despite these characteristics, CECFs retain significant exposure to their local (home) market factors and provide U.S. investors with substantial diversification benefits. Emerging market funds such as Brazil, Mexico, and Taiwan receive large weights in optimal international portfolios comprised of CECFs, implying that these funds can play a unique role in spanning the opportunity set for U.S. investors. Third, performance evaluations indicate that our sample CECFs generally did not offer significant 'overseas alphas'. Fourth, fund value and net asset value are found to be co-integrated for the majority of CECFs from North America and Europe, but not for those representing the Asian emerging markets.
Persistent Identifierhttp://hdl.handle.net/10722/206397
ISSN
2015 Impact Factor: 1.485
2015 SCImago Journal Rankings: 1.264
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorChang, ECen_US
dc.contributor.authorEun, Cen_US
dc.contributor.authorKolodny, Ren_US
dc.date.accessioned2014-10-28T09:14:41Z-
dc.date.available2014-10-28T09:14:41Z-
dc.date.issued1995en_US
dc.identifier.citationJournal of Banking and Finance, 1995, v. 19, n. 7, p. 1237-1263en_US
dc.identifier.issn0378-4266-
dc.identifier.urihttp://hdl.handle.net/10722/206397-
dc.description.abstractThe primary objectives of this paper are to assess the potential of closed-end country funds (CECFs) as vehicles for achieving international diversification at 'home' and to examine the effect of the closed-end status of these funds on their investment characteristics. The main findings are: First, CECFs exhibit significant exposure to the U.S. market factor and act more like U.S. securities than do their underlying assets. Second, despite these characteristics, CECFs retain significant exposure to their local (home) market factors and provide U.S. investors with substantial diversification benefits. Emerging market funds such as Brazil, Mexico, and Taiwan receive large weights in optimal international portfolios comprised of CECFs, implying that these funds can play a unique role in spanning the opportunity set for U.S. investors. Third, performance evaluations indicate that our sample CECFs generally did not offer significant 'overseas alphas'. Fourth, fund value and net asset value are found to be co-integrated for the majority of CECFs from North America and Europe, but not for those representing the Asian emerging markets.-
dc.languageengen_US
dc.relation.ispartofJournal of Banking and Financeen_US
dc.titleInternational Diversification through Closed End Country Fundsen_US
dc.typeArticleen_US
dc.identifier.emailChang, EC:ecchang@hku.hken_US
dc.identifier.authorityChang, EC=rp01050en_US
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/0378-4266(94)00122-J-
dc.identifier.volume19en_US
dc.identifier.issue7en_US
dc.identifier.spage1237en_US
dc.identifier.epage1263en_US
dc.identifier.isiWOS:A1995TE69800006-

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