Nowhere to run, nowhere to hide: asset diversification in a flat world

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Title: Nowhere to run, nowhere to hide: asset diversification in a flat world
Authors: Cotter, John
Gabriel, Stuart A.
Roll, Richard
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Date: 26-Oct-2016
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.
Funding Details: Science Foundation Ireland
Type of material: Working Paper
Publisher: University College Dublin. Geary Institute
Copyright (published version): 2016 the authors
Keywords: Asset return integration and diversificationEquitiesFixed incomeReal estate
Language: en
Status of Item: Not peer reviewed
Appears in Collections:Business Research Collection
Geary Institute Research Collection

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