Nowhere to run, nowhere to hide: asset diversification in a flat world

John Cotter, Stuart Gabriel and Richard Roll
Additional contact information
Richard Roll: California Institute of Technology

No 201612, Working Papers from Geary Institute, University College Dublin

Abstract: We present new international diversification indexes across equity, sovereign debt, and real estate. The indexes reveal a marked and near ubiquitous declin e in diversification potential across asset classes and markets for the post-2000 period. Analysis of panel data suggests that the decline is related to higher levels of market credit risk and volatility as well as to technology and communications innovation as proxied by internet diffusion. The decline in diversification opportunity is associated with sharply higher levels of investment risk.

Keywords: asset return integration and diversification; equities; fixed income; real estate (search for similar items in EconPapers)
JEL-codes: G01 G10 G11 G12 G14 G15 (search for similar items in EconPapers)
Pages: 60 pages
Date: 2016-11-10
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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http://www.ucd.ie/geary/static/publications/workingpapers/gearywp201612.pdf First version, 2016 (application/pdf)

Related works:
Working Paper: Nowhere to Run, Nowhere to Hide - Asset Diversification in a Flat World (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:ucd:wpaper:201612

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