International Diversification with Factor Funds

We propose a new investment strategy employing "factor funds" to systematically enhance the mean-variance 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 mark...

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Veröffentlicht in:	Management science 2010-09, Vol.56 (9), p.1500-1518
Hauptverfasser:	Eun, Cheol S., Lai, Sandy, de Roon, Frans A., Zhang, Zhe
Format:	Artikel
Sprache:	eng
Schlagworte:	Applied sciences Capital assets Diversification Efficiency Exact sciences and technology Experiments Factor analysis factor funds Financial investments Financial portfolios GDP Gross Domestic Product Hypotheses Index funds Industrialized nations International international diversification International finance Investment Investment analysis Investment policy Investment strategies Investments Investors local factors Management science Manycountries Operational research and scientific management Operational research. Management science Personal finance Portfolio diversification Portfolio investments Portfolio theory Rates of return Stock exchanges Stock market indices Studies Transaction costs Variables Yield
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