https://scholars.lib.ntu.edu.tw/handle/123456789/414544
標題: | International diversification with factor funds | 作者: | Eun, Cheol S. Sandy LAI De Roon, Frans A. Zhang, Zhe |
關鍵字: | Factor funds | International diversification | Local factors | 公開日期: | 1-九月-2010 | 出版社: | INFORMS | 卷: | 56 | 期: | 9 | 起(迄)頁: | 1500 | 來源出版物: | Management Science | 摘要: | We propose a new investment strategy employing "factor funds" to systematically enhance the meanvariance efficiency of international diversification. Our approach is motivated by the increasing evidence that size (SMB), book-to-market (HML), and momentum (MOM) factors, along with the market factor, adequately describe international stock returns, and by the direct link between investors' portfolio choice problems and international asset pricing theories and tests. Using data from 10 developed countries during the period 1981-2008, we show that the "augmented" optimal portfolio involving local factor funds substantially outperforms the "benchmark" optimal portfolio comprising country market indices only as measured by their portfolio Sharpe ratios. This strongly rejects the intersection hypothesis which posits that the local factor funds do not span investment opportunities beyond what country market indices do. Among the three classes of factor funds, HML funds contribute most to the efficiency gains. In addition, the local version of factor funds outperforms the global factor funds. The added gains from local factor diversification are significant for both in-sample and out-of-sample periods, and for a realistic range of additional investment costs for factor funds, and remain robust over time. Copyright © 2010 INFORMS. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414544 | ISSN: | 00251909 | DOI: | 10.1287/mnsc.1100.1191 |
顯示於: | 財務金融學系 |
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