Unexploited Gains From International Diversification: Patterns Of Portfolio Holdings Around The World
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Didier-2013-UNEXPLOITED GAINS FR.pdf
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Author(s)
Didier, Tatiana
Rigobon, Roberto
Schmukler, Sergio L.
Date Issued
December 2013
Journal
Review of Economics and Statistics
Publisher
MIT Press
Citation
Didier, Tatiana, Roberto Rigobon, and Sergio L. Schmukler. “Unexploited Gains From International Diversification: Patterns Of Portfolio Holdings Around The World.” Review of Economics and Statistics 95, no. 5 (December 2013): 1562–1583. © 2013 The President and Fellows of Harvard College and the Massachusetts Institute of Technology
Version
Final published version
Abstract
Using unique data on mutual fund portfolios with different investment scopes, we study the extent of international diversification. Mutual funds invest in a surprisingly limited number of stocks—about 100. The number of holdings from a given region declines as the investment scope broadens. Moreover, unexploited gains exist from international diversification. Funds that invest globally could achieve better risk-adjusted returns by adding stocks held by more specialized funds within the same family. These findings are not driven by different sectoral allocations, lack of information or instruments, transaction costs, or different tail risks. Instead, organizational factors might play an important role.
MIT Department
Sloan School of Management
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Article is made available in accordance with the publisher's policy and may be subject to US copyright law. Please refer to the publisher's site for terms of use.
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DOI of Published Version
https://doi.org/10.1162/REST_a_00351
