International Diversification with Large- and Small-Cap Stocks
Author | : Wei Huang |
Publisher | : |
Total Pages | : 49 |
Release | : 2015 |
ISBN-10 | : OCLC:1290711883 |
ISBN-13 | : |
Rating | : 4/5 (83 Downloads) |
Download or read book International Diversification with Large- and Small-Cap Stocks written by Wei Huang and published by . This book was released on 2015 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: To the extent that investors diversify internationally, large-cap stocks receive the dominant share of fund allocation. Increasingly, however, returns to large-cap stocks or stock market indices tend to co-move, mitigating the benefits from international diversification. In contrast, stocks of locally oriented, small companies do not exhibit the same tendency. In this paper, we assess the potential of small-cap stocks as a vehicle for international portfolio diversification during the period 1980-1999. We show that the extra gains from the augmented diversification with small-cap funds are statistically significant for both in-sample and out-of-sample periods and remain robust to the consideration of market frictions.