Global Diversification in a Shrinking World

Speidell, Lawrence S.; Sappenfield, Ross

doi:10.3905/jpm.1992.409427

Cited by 63 publications

(32 citation statements)

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“…Perhaps not surprisingly, India and Pakistan are negatively correlated. Errunza (1983), Errunza and Padmanabhan (1988), Stone (1990), Divecha, Drach and Stefek (1992), Speidell and Sappenfield (1992) and Wilcox (1992). the emerging markets, there are many low average correlations between developed and emerging markets.…”

Section: Frontier Intersection Testsmentioning

confidence: 99%

Predictable Risk and Returns in Emerging Markets

Harvey¹

1994

409

233

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equity markets significantly reduces the unconditional portfolio risk of a world investor.However, standard global asset pricing models, which assume complete integration of capital markets, fail to explain the cross-section of average returns in emerging countries. An analysis of the predictability of the returns reveals that emerging market returns are more likely than developed countries to be influenced by local information.

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Section: Frontier Intersection Testsmentioning

confidence: 99%

Predictable Risk and Returns in Emerging Markets

Harvey¹

1994

409

233

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“…al. 1992;Speidell and Sappenfield 1992; among others). However, studies focusing on emerging stock markets, specifically the Philippine Stock Market and the Indonesian Stock Markets are limited.…”

Section: Objectives Of the Studymentioning

confidence: 97%

“…al. 1992;Speidell and Sappenfield 1992;Francis 1991;Levy and Lerman 1988;Levy and Sarnat 1970;among others).…”

Section: Background Of the Studymentioning

confidence: 98%

Gains From International Diversification and Domestic Portfolio in Emerging Stocks Markets: Philippine and Indonesian Perspectives

Tandelilin

2018

GADJAH MADA INT. J. BUS.

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“…These studies are motivated by the typically lower correlations emerging markets have with developed markets (see for example, Errunza, 1977;Speidell & Sappenfield, 1992;Harvey, 1995;Kohers, Kohers & Pandey, 1998;Lagoarde-Segot & Lucey, 2007;Gupta & Donleavy, 2009).…”

Section: International Studiesmentioning

confidence: 99%

Raising the bar on the foreign portfolio to 25 per cent: Strategic implications for South African investors

Bradfield

Munro

2015

S. Afr. j. econ. manag. sci.

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Regulation 28 of the Pension Funds Act now permits an increased allocation of 25 per cent to foreign investments. The regulation previously only permitted a 20 per cent allocation. Establishing the optimal foreign allocation for South African portfolio managers given the 25 per cent upper bound is an important consideration for strategic portfolio planning. In this paper we consider two methodological approaches to establish a strategic foreign allocation weight. Our first approach considers the strategic role of foreign investment in South African global balanced portfolios by using a mean-variance efficient frontier framework over a long-term period. We also implement a second assessment methodology that utilises a nonparametric procedure. Both the mean-variance and the non-parametric methodology yield compelling evidence for the foreign allocation to be set at the maximum allowable bound of 25 per cent.

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Global Diversification in a Shrinking World

Cited by 63 publications

References 0 publications

Predictable Risk and Returns in Emerging Markets

Predictable Risk and Returns in Emerging Markets

Gains From International Diversification and Domestic Portfolio in Emerging Stocks Markets: Philippine and Indonesian Perspectives

Raising the bar on the foreign portfolio to 25 per cent: Strategic implications for South African investors

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