International Diversification with Large- and Small-Cap Stocks

To 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 co-move, mitigating the benefits from international diversification. In contrast, stocks of local...

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Main Authors: Eun, Cheol S., Huang, Wei, LAI, Sandy
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2010
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Online Access:https://ink.library.smu.edu.sg/lkcsb_research/2521
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spelling sg-smu-ink.lkcsb_research-35202010-09-24T04:18:03Z International Diversification with Large- and Small-Cap Stocks Eun, Cheol S. Huang, Wei LAI, Sandy To 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 co-move, 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. 2010-03-20T07:00:00Z text https://ink.library.smu.edu.sg/lkcsb_research/2521 Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Business
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Business
spellingShingle Business
Eun, Cheol S.
Huang, Wei
LAI, Sandy
International Diversification with Large- and Small-Cap Stocks
description To 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 co-move, 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.
format text
author Eun, Cheol S.
Huang, Wei
LAI, Sandy
author_facet Eun, Cheol S.
Huang, Wei
LAI, Sandy
author_sort Eun, Cheol S.
title International Diversification with Large- and Small-Cap Stocks
title_short International Diversification with Large- and Small-Cap Stocks
title_full International Diversification with Large- and Small-Cap Stocks
title_fullStr International Diversification with Large- and Small-Cap Stocks
title_full_unstemmed International Diversification with Large- and Small-Cap Stocks
title_sort international diversification with large- and small-cap stocks
publisher Institutional Knowledge at Singapore Management University
publishDate 2010
url https://ink.library.smu.edu.sg/lkcsb_research/2521
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