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Diversification Benefits (diversification + benefit)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting100%

Selected Abstracts

Emerging Market Bond Funds: A Comprehensive Analysis

FINANCIAL REVIEW, Issue 1 2008
Sirapat Polwitoon
G11; G12; G15 Abstract We analyze U.S.-based emerging market bond funds over a ten-year (1996,2005) complete cycle of ups and downs in the dominant emerging bond markets. Emerging market bond funds outperform comparable domestic and global bond funds. The results are robust across both conditional and unconditional models. The funds also provide international diversification benefits to U.S. and international bond and equity portfolios. The funds exhibit persistence in performance and seasonality. Active funds, large funds and funds with high minimum purchases perform better on a total return basis but not on a risk-adjusted basis. [source]

Portfolio selection, diversification and fund-of-funds: a note

ACCOUNTING & FINANCE, Issue 2 2005
Simone Brands
G23 Abstract The present paper examines the performance and diversification properties of active Australian equity fund-of-funds (FoF). Simulation analysis is employed to examine portfolio performance as a function of the number of funds in the portfolio. The present paper finds that as the number of funds in an FoF portfolio increases, performance improves in a mean,variance setting; however, measures of skewness and kurtosis behave less favourably given an investor's preferences for the higher moments of the return distribution. The majority of diversification benefits are realized when a portfolio of approximately 6 active equity funds are included in the FoF portfolio. [source]

OPTIMAL CAPITAL AND RISK TRANSFERS FOR GROUP DIVERSIFICATION

MATHEMATICAL FINANCE, Issue 1 2008
Damir Filipovi
Diversification is at the core of insurance and other financial business. It constitutes an important issue in the preparation of the new Solvency II framework for the regulation of European insurance undertakings. In this paper, we propose a conceptual framework for a legally enforceable capital and risk transfer which optimally accounts for the designated group diversification benefits. We also provide a consistent valuation principle which is compatible with any prior valuation method. This makes our framework fully flexible and universally applicable. A first simple numerical example illustrates the practicability of our proposal. [source]

Increasing Convergence Between U.S. and International Securitized Property Markets: Evidence Based on Cointegration Tests

REAL ESTATE ECONOMICS, Issue 3 2009
Nafeesa Yunus
This article examines the degree of interdependence among the securitized property markets of six major countries and the United States. Long-run results indicate that, over a period beginning January 1990 and ending August 2007, the property markets of Australia, Hong Kong, Japan, the United Kingdom and the United States are tied together, implying that from the perspective of the U.S. investor the markets of the Netherlands and France provide the greater diversification benefits. Further, the United States and Japan are found to be the sources of the common trends, suggesting that the two larger property markets lead the five (cointegrated) markets toward the long-run equilibrium relationships. [source]

Regime-switching in stock index and Treasury futures returns and measures of stock market stress

THE JOURNAL OF FUTURES MARKETS, Issue 8 2010
Naresh Bansal
We investigate bivariate regime-switching in daily futures-contract returns for the US stock index and ten-year Treasury notes over the crisis-rich 1997,2005 period. We allow the return means, volatilities, and correlation to all vary across regimes. We document a striking contrast between regimes, with a high-stress regime that exhibits a much higher stock volatility, a much lower stock,bond correlation, and a higher mean bond return. The high-stress regime is associated with higher average values of stock-implied volatility, stock illiquidity, and stock and bond futures trading volume. The lagged implied volatility from equity-index options is useful in modeling the time-varying transition probabilities of the regime-switching process. Our findings support the notions that: (1) stock market stress can have a material influence on Treasury bond pricing, and (2) the diversification benefits of combined stock,bond holdings tend to be greater during times with relatively high stock market stress. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:753,779, 2010 [source]

Efficiency, Cointegration and Contagion in Equity Markets: Evidence from China, Japan and South Korea,

ASIAN ECONOMIC JOURNAL, Issue 1 2009
A.S.M. Sohel Azad
C14; C32; G14; G15 This paper empirically examines whether three East Asian stock markets, namely, those of China, Japan and South Korea, are individually and/or jointly efficient, and whether contagion exists between the cointegrated markets. While individual market efficiency is examined through testing for the random walk hypothesis, joint market efficiency is examined through testing for cointegration and contagion. The present study finds that the hypothesis of individual market efficiency is strongly rejected for the Chinese stock market, but not for the Japanese and the South Korean stock markets. However, when testing for cointegration, market efficiency is strongly rejected for all these markets. We take a simple case of contagion and find that although there is a long-term relationship among the three markets, the contagion hypothesis cannot be rejected only between Japanese and South Korean stock markets, indicating short-run portfolio diversification benefits from these two markets. [source]