Abstract

The existence of country-specific risk factors that could be mitigated by international investments is investigated. An innovative methodology for quantifying the benefits of international diversification is also proposed and tested. In order to overcome many of the problems that arise in the study of international diversification, the analysis is restricted to the equity markets of the Eurozone. The results clearly show the benefits of international equity diversification, even in close economies. The introduction of constraints on short selling significantly reduces these benefits. For asset managers and practitioners, the analysis shows unambiguously that, despite the economic and monetary union and notwithstanding the high degree of correlation between the European markets, opportunities for diversification still exist. There is, actually, a significant country-specific source of risk that can be hedged via the use of non-domestic diversification. Most of the previous literature on this topic has adopted an U.S. perspective. Few papers assumed a European point of view. This paper fills this knowledge gap by focusing its analysis on the Eurozone markets. In contrast with previous literature, the profitability of international diversification has been verified for all countries under consideration, and not just from the standpoint of one nation alone.

Autore Pugliese

• Pizzutilo Fabio

Tutti gli autori

• PIZZUTILO F.

Titolo volume/Rivista

Non Disponibile

Anno di pubblicazione

2010

ISSN

0975-2064

ISBN

Non Disponibile

Numero di citazioni Wos

Nessuna citazione

Ultimo Aggiornamento Citazioni

Non Disponibile

Numero di citazioni Scopus

Non Disponibile

Ultimo Aggiornamento Citazioni

Non Disponibile

Settori ERC

Non Disponibile

Codici ASJC

Non Disponibile