Economics at your fingertips  

Geographic versus industry diversification: constraints matter

Paul Ehling and Sofia Ramos

No 425, Working Paper Series from European Central Bank

Abstract: This research addresses whether geographic diversification provides benefits over industry diversification. In the absence of constraints, no empirical evidence is found to support the argument that country diversification is superior. With short-selling constraints, however, the geographic tangency portfolio is not attainable by industry portfolios. Results with upper and lower constraints on portfolio weights as well as an out-of-sample analysis show that geographic diversification almost consistently outperforms industry portfolios, although we cannot establish statistical significance. JEL Classification: G11, G15

Keywords: block-bootstrap tests; diversification gains; EMU; geographic diversification; industry diversification (search for similar items in EconPapers)
Date: 2005-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link) (application/pdf)

Related works:
Journal Article: Geographic versus industry diversification: Constraints matter (2006) Downloads
Working Paper: Geographic Versus Industry Diversification: Contraints Matter (2004) Downloads
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:

Access Statistics for this paper

More papers in Working Paper Series from European Central Bank 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications ().

Page updated 2024-07-01
Handle: RePEc:ecb:ecbwps:2005425