Erschienen in:FRB Atlanta Working Paper ; No. 2002-20b
Umfang:
1 Online-Ressource (12 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.2565853
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 2004 erstellt
Beschreibung:
An empirical regularity in the portfolio diversification literature is the importance of country effects in explaining international return variation. We develop a new decomposition that disaggregates these country effects into region effects and within-region country effects. We find that half the return variation typically attributed to country effects is actually due to region effects, a result robust across developed and emerging markets, with the remaining variation explained by within-region country effects. For the average investor, this means that diversifying across countries within Europe, for example, delivers half the risk reduction possible from diversifying across regions globally