Long-run international diversification

Thomas Conlon, John Cotter and Ramazan Gencay

No 201502, Working Papers from Geary Institute, University College Dublin

Abstract: Prevailing wisdom in nance suggests long-run investors have a competitive advantage, since they can ride out short-run uctuations and mispricing, and pursue illiquid investments. This paper investigates if this advantage holds in a portfolio context, examining bene ts of international diversi cation across short- and longrun horizons. Employing a multi-horizon non-parametric lter, increased long-run correlations between international equity markets are detailed, even for synchronized markets. A model replicating the temporal aggregation properties of intermarket correlation is developed, indicating that short-run correlations are downward biased by frictions. Finally, the impact on portfolio allocation is investigated, demonstrating decreased risk reduction bene ts in the long-run.

Pages: 61 pages
Date: 2015-03-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://geary.ucd.ie/workingpapers/workingpapers/gearywp201502.pdf First version, 2015 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ucd:wpaper:201502

Access Statistics for this paper

More papers in Working Papers from Geary Institute, University College Dublin Contact information at EDIRC.
Bibliographic data for series maintained by Geary Tech ( this e-mail address is bad, please contact ).