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Nowhere to run, nowhere to hide: asset diversification in a flat world
Author(s)
Date Issued
2016-10-26
Date Available
2016-12-05T13:42:50Z
Abstract
We present new international diversification indexes across equity, sovereign debt, and real estate. The indexes reveal a marked and near ubiquitous decline in diversification potential across asset classes and markets for the post-2000 period.Analysis of panel data suggests that the decline is related to higher levels of market credit risk and volatility as well as to technology and communications innovation as proxied by internet diffusion. The decline in diversification opportunity is associated with sharply higher levels of investment risk.
Sponsorship
Science Foundation Ireland
Other Sponsorship
UCLA Rosalinde and Arthur Gilbert Program in Real Estate, Finance and Urban Economics
Type of Material
Working Paper
Publisher
University College Dublin. Geary Institute
Series
UCD Geary Institute for Public Policy Discussion Paper Series
WP2016/12
Copyright (Published Version)
2016 the authors
Classification
G01
G10
G11
G12
G14
G15
Language
English
Status of Item
Not peer reviewed
This item is made available under a Creative Commons License
File(s)
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Name
gearywp201612.pdf
Size
489.33 KB
Format
Adobe PDF
Checksum (MD5)
2f6da641a56c4c37b521f100577c3087
Owning collection
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