Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/152859
Authors: 
Ehling, Paul
Ramos, Sofia Brito
Year of Publication: 
2005
Series/Report no.: 
ECB Working Paper 425
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.
Subjects: 
block-bootstrap tests
Diversification gains
EMU
geographic diversification
industry diversification
JEL: 
G11
G15
Document Type: 
Working Paper

Files in This Item:
File
Size
853.22 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.