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dc.contributor.authorEiling, Esther
dc.contributor.authorGerard, Bruno
dc.contributor.authorHillion, Pierre
dc.contributor.authorRoon, Frans A. de
dc.date.accessioned2012-07-12T12:08:01Z
dc.date.available2012-07-12T12:08:01Z
dc.date.issued2012
dc.identifier.issn1873-0639 (e-utg)
dc.identifier.urihttp://hdl.handle.net/11250/93568
dc.descriptionThis is the authors’ final, accepted and refereed manuscript to the articleno_NO
dc.description.abstractWe examine the relative importance of country, industry, world market and currency risk factors for international stock returns. Our approach focuses on testing the mean-variance efficiency of the various factor portfolios. An unconditional analysis does not detect significant differences between country, industry and world portfolios, nor any role for currency risk factors. However, when we allow expected returns, volatilities and correlations to vary over time, we find that equity returns are mainly driven by global industry and currency risk factors. We propose a novel test to evaluate the relative benefits of alternative investment strategies and find that including currencies is critical to take full advantage of the diversification benefits afforded by international markets.no_NO
dc.language.isoengno_NO
dc.publisherElsevierno_NO
dc.subjectinternational financial marketsno_NO
dc.subjectcurrency riskno_NO
dc.subjectmean-variance efficiencyno_NO
dc.subjectconditioning informationno_NO
dc.titleInternational portfolio diversification: currency, industry and country effects revisitedno_NO
dc.typeJournal articleno_NO
dc.typePeer reviewedno_NO
dc.source.pagenumber1249-1278no_NO
dc.source.volume31no_NO
dc.source.journalJournal of International Money and Financeno_NO
dc.source.issue5no_NO
dc.identifier.doihttp://dx.doi.org/10.1016/j.jimonfin.2012.01.015


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