金砖四国证券的收益正交性与真正的多元化收益

Q4 Economics, Econometrics and Finance

Journal of Index Investing Pub Date : 2019-05-31 DOI:10.3905/jii.2019.10.1.075

Javier Rodríguez

{"title":"金砖四国证券的收益正交性与真正的多元化收益","authors":"Javier Rodríguez","doi":"10.3905/jii.2019.10.1.075","DOIUrl":null,"url":null,"abstract":"In this study, the author examines and compares the US market risk exposure and true diversification benefits of emerging markets closed-end funds and exchange-traded funds. The author uses a two-factor econometric model and orthogonal returns to isolate both, US direct market risk and true diversification. Results show that exchange-traded funds that invest in emerging markets are a better vehicle for US-based investors to gain international diversification. In comparison to closed-end funds, exchange-traded funds provide truer international diversification and have less exposure to US market risk. TOPICS: Mutual fund performance, exchange-traded funds and applications","PeriodicalId":36431,"journal":{"name":"Journal of Index Investing","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2019-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.3905/jii.2019.10.1.075","citationCount":"0","resultStr":"{\"title\":\"Return Orthogonality and True Diversification Benefits of BRIC Securities\",\"authors\":\"Javier Rodríguez\",\"doi\":\"10.3905/jii.2019.10.1.075\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this study, the author examines and compares the US market risk exposure and true diversification benefits of emerging markets closed-end funds and exchange-traded funds. The author uses a two-factor econometric model and orthogonal returns to isolate both, US direct market risk and true diversification. Results show that exchange-traded funds that invest in emerging markets are a better vehicle for US-based investors to gain international diversification. In comparison to closed-end funds, exchange-traded funds provide truer international diversification and have less exposure to US market risk. TOPICS: Mutual fund performance, exchange-traded funds and applications\",\"PeriodicalId\":36431,\"journal\":{\"name\":\"Journal of Index Investing\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2019-05-31\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.3905/jii.2019.10.1.075\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Index Investing\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3905/jii.2019.10.1.075\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"Economics, Econometrics and Finance\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Index Investing","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3905/jii.2019.10.1.075","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"Economics, Econometrics and Finance","Score":null,"Total":0}

引用次数: 0

摘要

在本研究中，作者考察并比较了新兴市场封闭式基金和交易所交易基金在美国市场的风险敞口和真正的多元化收益。作者采用双因素计量经济模型和正交收益来隔离美国直接市场风险和真正的多元化。结果显示，投资新兴市场的交易所交易基金是美国投资者获得国际多元化的更好工具。与封闭式基金相比，交易所交易基金提供了更真实的国际多元化，对美国市场风险的敞口更小。主题：共同基金业绩、交易所交易基金和应用

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Return Orthogonality and True Diversification Benefits of BRIC Securities

In this study, the author examines and compares the US market risk exposure and true diversification benefits of emerging markets closed-end funds and exchange-traded funds. The author uses a two-factor econometric model and orthogonal returns to isolate both, US direct market risk and true diversification. Results show that exchange-traded funds that invest in emerging markets are a better vehicle for US-based investors to gain international diversification. In comparison to closed-end funds, exchange-traded funds provide truer international diversification and have less exposure to US market risk. TOPICS: Mutual fund performance, exchange-traded funds and applications

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Journal of Index Investing Economics, Econometrics and Finance-Finance

CiteScore

0.70

自引率

0.00%

发文量