International Diversification Strategies
نویسندگان
چکیده
We estimate a model with countryand industry-specific shocks that extends the dummy variable model used in the portfolio diversification literature by relaxing the restriction that all stocks with exposure to a given shock have the same exposure to that shock. We find that: i) This restriction is strongly rejected by the data. ii) Many industry betas are negative, while almost all country betas are positive. This difference in within-group heterogeneity may explain why country shocks have historically outweighed industry shocks in explaining international return variation. iii) We use the betas to construct portfolios whose volatility is substantially below that of the world market, both in and out of sample. JEL classification: G11, G15
منابع مشابه
Corporate diversification’s effects on Efficiency and productivity: case study of Manufacturing firms listed in Bursa Malaysia
Abstract In the past few years, diversification has turned into a highly controversial issue amongst numerous managers in almost each and every business. It is contended by many that diversification is vitally important and highly effective especially when it comes to evaluating the financial performance. There are several studies about the relationship between diversification and financial per...
متن کاملThe Strategy of Export Diversification and Economic Growth in
Today export diversification has become one of the most important economic objectives of development strategies in the developing countries. For various reasons, such as preventing instability in export prices of primary products in global markets, reducing fluctuations in exchanges of them compared with industrial goods, producing dynamic benefits resulted from exporting various goods and incr...
متن کاملCorporate diversification and efficiency of manufacturing firms listed in Bursa Malaysia
There is little consensus on the corporate diversification-efficiency relationship in the diversification literature. The study aims to contribute to the literature by looking jointly at two dimensions of corporate diversification as product diversification and international diversification and the relationship between them. The results show negative relationship between product diversification...
متن کاملLivelihood Diversification among the Agricultural Land Scarce Peasants in the Central Highlands of Ethiopia
This article examines the livelihood strategies of land scarce peasants in Ethiopian. Land scarce peasants have a limited livelihood security on a sustainable manner and bypassed by major development programmes. The study was centred on two sets of rationales. First, for those peasants who do not have sufficient farmland, agriculture provides only a limited portion of households’ livelihood...
متن کاملDiversification and Financial Performance in Bursa Malaysia
Firms pursue diversification for sake enhancing financial performance. Some theories state positive relationship between diversification and financial performance. However, there are some theories for negative relationship about the issue. The study has filled the gap that most studies done in developed countries and there are fewer studies in developing country like Malaysia. In this study, re...
متن کاملDiversification and Corporate Performance: Evidence from China’s Listed Energy Companies
Recently, China’s energy industry has been continuously depressed due to a slowdown in its economic development. China’s energy companies have made considerable efforts to promote their corporate performance to mitigate this performance decline and to ensure the sustainable development of China’s energy industry, macro economy, society and environment. In this paper, the effects of two business...
متن کامل