haku: @indexterm Bond markets / yhteensä: 247
viite: 7 / 247
| Tekijä: | Hansson, M. Liljeblom, E. Löflund, A. |
| Otsikko: | International bond diversification strategies: the impact of currency, country, and credit risk |
| Lehti: | European Journal of Finance
2009 : JUL/SEP, VOL. 15:5-6, p. 555-583 |
| Asiasana: | international bond markets diversification emerging markets debt |
| Kieli: | eng |
| Tiivistelmä: | This paper examines the incremental role of emerging market debt and corporate bonds (as: c-bonds) in internationally (here as: int.) diversified (as: div.) government bond (as: g-bond/s) portfolios (as: p-fs). In contrast to earlier results, it is found that int. div. among g-bond/s does not produce significant div. benefits. The result is found using mean-variance (here as: m-var.) spanning (as: spng.) and intersection tests (as: i-tests), with restrictions for short sales. In turn, currency hedged int. c-bonds offer some div. benefits, and emerging market debt, particularly, significantly shifts the m-var. frontier for a developed market investor. Since especially unconstrained m-var. spng. and i-tests can indicate significant div. benefits, but lead to frontier p-fs. with extreme weights, some ex-ante global g-bond/s p-fs. strategies are considered, as well. Passive global benchmarks e.g. GDP-weighed g-bond p-fs. are found to perform quite well within developed countries. |
SCIMA