Eun, Cheol S.Cheol S.EunHuang, WeiWeiHuangSandy LAI2019-07-232019-07-232008-06-0100221090https://scholars.lib.ntu.edu.tw/handle/123456789/414547https://www.scopus.com/inward/record.uri?eid=2-s2.0-46849106506&doi=10.1017%2fs0022109000003604&partnerID=40&md5=8167c9d3121b0b3e8be95c7dac1e6f7fTo 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 comove, 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.journal article2-s2.0-46849106506https://www.jstor.org/stable/27647358