Long-Run international diversification
|Title:||Long-Run international diversification||Authors:||Conlon, Thomas
|Permanent link:||http://hdl.handle.net/10197/6485||Date:||27-Feb-2015||Abstract:||Prevailing wisdom in finance suggests long-run investors have a competitive advantage, since they can ride out short-run fluctuations and mispricing, and pursue illiquid investments. This paper investigates if this advantage holds in a portfolio context, examining benefits of international diversification across short- and longrun horizons. Employing a multi-horizon non-parametric filter, increased long-run correlations between international equity markets are detailed, even for synchronized markets. A model replicating the temporal aggregation properties of intermarket correlation is developed, indicating that short-run correlations are downward biased by frictions. Finally, the impact on portfolio allocation is investigated, demonstrating decreased risk reduction benefits in the long-run.||Funding Details:||Science Foundation Ireland||Type of material:||Working Paper||Publisher:||University College Dublin. Geary Institute||Keywords:||Investors; International equity markets; Risk reduction||Language:||en||Status of Item:||Not peer reviewed|
|Appears in Collections:||Geary Institute Working Papers|
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