| Author: | Roon, F.A. de Nijman, T.E. Werker, B.J.M. |
| Title: | Testing for mean-variance spanning with short sales constraints and transaction costs: the case of emerging markets |
| Journal: | Journal of Finance
2001 : APR, VOL. 56:2, p. 721-742 |
| Index terms: | INVESTORS MARKET CONDITIONS USA |
| Language: | eng |
| Abstract: | The authors propose regression-based tests for mean-variance spanning in the case where investors face market frictions such as short sales constraints and transaction costs. They test whether U.S. investors can extend their efficient set by investing in emerging markets when accounting for such frictions. |
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