Total Return And Credit Spread Diversification In International Bond Portfolios
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Total Return And Credit Spread Diversification In International Bond Portfolios
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Author : Simone Varotto
language : en
Publisher:
Release Date : 2008
Total Return And Credit Spread Diversification In International Bond Portfolios written by Simone Varotto and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
In this study we investigate the factors responsible for diversification in international corporate bond portfolios. We observe that interest rate factors are the most important single cause of diversification of total portfolio returns. Maturity diversification follows as the second most effective risk reduction strategy, while credit rating and seniority diversification effects are unimportant. Interest rate and maturity diversification are also found to be the dominant strategies to reduce the volatility of credit spreads. Finally, contrary to recent evidence from the stock market, industry diversification produces but a negligible impact on the volatility of corporate bond portfolios.
International Bond Diversification Strategies The Impact Of Currency Country And Credit Risk
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Author : Mats Hansson
language : en
Publisher:
Release Date : 2008
International Bond Diversification Strategies The Impact Of Currency Country And Credit Risk written by Mats Hansson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
We investigate the incremental role of emerging market debt and corporate bonds in internationally diversified government bond portfolios. Contrary to earlier results, we find that international diversification among government bonds does not yield significant diversification benefits. This result is obtained using mean-variance spanning and intersection tests, with restrictions for short sales, both for currency unhedged and hedged international developed market government bonds. Currency hedged international corporate bonds in turn do offer some diversification benefits, and emerging market debt in particular significantly shifts the mean-variance frontier for a developed market investor. Since especially unconstrained mean-variance spanning and intersection tests can indicate significant diversification benefits, but lead to frontier portfolios with extreme weights, we also consider some ex-ante global government bond portfolio strategies. We find that passive global benchmarks such as GDP-weighed government bond portfolios perform quite well within developed countries.
Benchmarks And Investment Management
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Author : Laurence B. Siegel
language : en
Publisher: Research Foundation Publications
Release Date : 2003
Benchmarks And Investment Management written by Laurence B. Siegel and has been published by Research Foundation Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Business & Economics categories.
Factor Investing And Asset Allocation A Business Cycle Perspective
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Author : Vasant Naik
language : en
Publisher: CFA Institute Research Foundation
Release Date : 2016-12-30
Factor Investing And Asset Allocation A Business Cycle Perspective written by Vasant Naik and has been published by CFA Institute Research Foundation this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-12-30 with Business & Economics categories.
International Convergence Of Capital Measurement And Capital Standards
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Author :
language : en
Publisher: Lulu.com
Release Date : 2004
International Convergence Of Capital Measurement And Capital Standards written by and has been published by Lulu.com this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Bank capital categories.
International Diversification At Home And Abroad
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Author : Fang Cai
language : en
Publisher:
Release Date : 2016
International Diversification At Home And Abroad written by Fang Cai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
We analyze foreigners' and domestic institutional investors' positions in U.S. equities. Controlling for many factors, we uncover a common preference for large firms and firms that are diversified internationally. The domestic preference for internationally diversified firms implies that investors might obtain substantial international diversification by investing at home. Using an international factor model, we show that exposure to foreign equity markets is indeed greater for domestic firms that are more diversified internationally, suggesting that at least some of the home-grown foreign.
Asset Management And International Capital Markets
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Author : Wolfgang Bessler
language : en
Publisher: Routledge
Release Date : 2013-08-21
Asset Management And International Capital Markets written by Wolfgang Bessler and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-08-21 with Business & Economics categories.
This innovative volume comprises a selection of original research articles offering a broad perspective on various dimensions of asset management in an international capital market environment. The topics covered include risk management and asset pricing models for portfolio management, performance evaluation and performance measurement of equity mutual funds as well as the wide range of bond portfolio management issues. Asset Management and International Capital Markets offers interesting new insights into state-of-the-art asset pricing and asset management research with a focus on international issues. Each chapter makes a valuable contribution to current research and literature, and will be of significant importance to the practice of asset management. This book is a compilation of articles originally published in The European Journal of Finance.
First Time International Bond Issuance New Opportunities And Emerging Risks
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Author : Ms.Anastasia Guscina
language : en
Publisher: International Monetary Fund
Release Date : 2014-07-18
First Time International Bond Issuance New Opportunities And Emerging Risks written by Ms.Anastasia Guscina and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-07-18 with Business & Economics categories.
International bond issuance by debut issuers has risen in recent years. The uptick was a result of both demand and supply factors. The search for yield and demand for portfolio diversification have resulted in demand-driven easy financing conditions. At the same time, rising financing needs for many debut issuers, coupled with reduced access to concessional financing, relatively undeveloped domestic markets, and a favorable interest rate environment have made international bonds an attractive financing alternative for many countries. As bonds issued in the international markets are typically denominated in hard currencies, have large volumes and a bullet structure, exposure to exchange rate and refinancing risk has increased. Therefore, risk-mitigating policy actions are needed to prepare for redemption, support debt sustainability, and secure adequate debt management capacity.
International Capital Flows
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Author : Martin Feldstein
language : en
Publisher: University of Chicago Press
Release Date : 2007-12-01
International Capital Flows written by Martin Feldstein and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-12-01 with Business & Economics categories.
Recent changes in technology, along with the opening up of many regions previously closed to investment, have led to explosive growth in the international movement of capital. Flows from foreign direct investment and debt and equity financing can bring countries substantial gains by augmenting local savings and by improving technology and incentives. Investing companies acquire market access, lower cost inputs, and opportunities for profitable introductions of production methods in the countries where they invest. But, as was underscored recently by the economic and financial crises in several Asian countries, capital flows can also bring risks. Although there is no simple explanation of the currency crisis in Asia, it is clear that fixed exchange rates and chronic deficits increased the likelihood of a breakdown. Similarly, during the 1970s, the United States and other industrial countries loaned OPEC surpluses to borrowers in Latin America. But when the U.S. Federal Reserve raised interest rates to control soaring inflation, the result was a widespread debt moratorium in Latin America as many countries throughout the region struggled to pay the high interest on their foreign loans. International Capital Flows contains recent work by eminent scholars and practitioners on the experience of capital flows to Latin America, Asia, and eastern Europe. These papers discuss the role of banks, equity markets, and foreign direct investment in international capital flows, and the risks that investors and others face with these transactions. By focusing on capital flows' productivity and determinants, and the policy issues they raise, this collection is a valuable resource for economists, policymakers, and financial market participants.
Brazilian Market Portfolio
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Author : Cristina Tessari
language : en
Publisher: International Monetary Fund
Release Date : 2017-03-10
Brazilian Market Portfolio written by Cristina Tessari and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-03-10 with Business & Economics categories.
In recent years, Brazil has achieved substantial progress in capital market development by building a diversified investor base and expanding the menu of available financial instruments. In this context, we evaluated the invested Brazilian market portfolio for a period spanning 2005–15. This is a portfolio of all assets proportionally weighted by their market capitalization, and it is divided in eight broad categories: government bonds, equities, bank funding bonds, corporate bonds, real-estate, agribusiness, private-equity, and credit bonds. While the paper focuses on stylized facts related to market size, composition weighting and changes over time, the estimated market portfolio contains important information for policy makers and market participants alike.