Sources of gains from international portfolio diversification

Jose Campa and Nuno Fernandes

No D/559, IESE Research Papers from IESE Business School

Abstract: This paper looks at the determinants of country and industry specific factors in international portfolio returns using a sample of thirty-six countries and thirty-nine industries over the last three decades. Country factors have remained relatively stable over the sample period, while industry factors have significantly increased during the last decade. The importance of industry and country factors is correlated with measures of economic and financial international integration and development. Country factors are smaller for countries integrated in world financial markets and have declined as the degree of financial integration and the number of countries pursuing financial liberalizations has increased. Higher international financial integration within an industry increases the importance of industry factors in explaining returns. Economic integration of production also helps in explaining returns. Countries with a more specialized production activity have higher country factors.

Keywords: International diversification; Country/Industry effects; Financial integration (search for similar items in EconPapers)
JEL-codes: F36 G11 G15 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2004-05-14
New Economics Papers: this item is included in nep-cfn and nep-fin
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Related works:
Journal Article: Sources of gains from international portfolio diversification (2006)
Working Paper: Sources of Gains from International Portfolio Diversification (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:ebg:iesewp:d-0559

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