원문정보
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초록
영어
We employ mean-variance spanning and intersection tests in the stochastic discount factor approach to examine the potential diversification benefits of international investments from the perspective of Korean investors. Our results show that the addition of international regional indices to the set of domestic equities provides significant diversification benefits. However, the source and economic magnitude of diversification benefits differ across international markets. Furthermore, we find that when investors manage their portfolio based on instrument variables, they can not only expand their investment opportunities by investing in international assets, but also increase the efficiency gain of diversification benefits.
목차
Abstract
1. Introduction
2. Method
2.1 Spanning and intersection test
2.2 Incorporating conditioning information
3. Data
3.1 Domestic Benchmark Assets
3.2 International Test Assets
3.3 Instrument Variables
3.4 Descriptive Statistics
4. Empirical Results
4.1 Spanning and Intersection Test
4.2 Conditional Analysis
4.3 Diagnosis of Benchmark Assets
5. Conclusion
Appendix
1. Introduction
2. Method
2.1 Spanning and intersection test
2.2 Incorporating conditioning information
3. Data
3.1 Domestic Benchmark Assets
3.2 International Test Assets
3.3 Instrument Variables
3.4 Descriptive Statistics
4. Empirical Results
4.1 Spanning and Intersection Test
4.2 Conditional Analysis
4.3 Diagnosis of Benchmark Assets
5. Conclusion
Appendix
저자정보
참고문헌
자료제공 : 네이버학술정보