Waseda Organizational and Financial Economics Seminar:
“Global Diversification with Local Stocks: A Road Less Traveled” (5/29)
講演者 / Speaker
Cheol Eun （ Thomas R. Williams Chair & Professor of Finance, College of Management, Georgia Institute of Technology, USA ）
日 時 / Date & Time
Monday, 29 May 2017, 13:00 – 14:30
会 場 / Venue
主 旨 / Outline
“Global Diversification with Local Stocks: A Road Less Traveled”
In this paper, we document a great heterogeneity in the degree of global integration at the firm-level and delve into its implications for international portfolio diversification.
Specifically, we estimate the degree of integration for about 14,000 sample firms per year, on average, from major developed markets over the period 1995-2014, using the R-square method.
Our key findings are: (i) The R-square, our measure of integration, is very widely distributed across sample firms, within and across countries; (ii) The firm-level integration is significantly affected by the three attributes tested – country, industry, and style; style exerts the greatest effect, followed by country and industry; (iii) ‘Local’ stocks that are least driven by the common global factors are significantly more effective in portfolio risk diversification than either domestic or ‘global’ stocks; this result holds during the recent global financial crises; (iv) Systematically identifying local stocks and holding them optimally, investors can significantly benefit from the enhanced the mean-variance efficiency within the familiar confines of developed markets.
In light of the stark heterogeneity in global integration at the granular level, inferences of the diversification gains solely from stock market indices, the usual practice, are likely to understate the potential gains that world stock markets can provide.
プログラム / Schedule
13：00 Opening Remarks （Hideaki Miyajima (Waseda University)）
14：05 Question-and-answer session
14：25 Concluding Remarks（Hideaki Miyajima (Waseda University)）
対 象 / Prospected Audience
Faculty and staff members of a university, grad students, the general publics
主 催 / Organizer
Research Institute of Business Administration,Waseda University
Waseda Institute for Advanced Study,Waseda University
申込み / Registration
Free of charge. Please come to the event venue directly.