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
2017年5月29日（月）13:00 ～ 14:30
会 場 / Venue
早稲田大学 早稲田キャンパス 11号館 11階 1109教室
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 開会の挨拶（宮島 英昭 早稲田大学 高等研究所長 ／ 商学学術院 教授）
13：05 講演
14：05 質疑応答
14：25 閉会の挨拶（宮島 英昭）
対 象 / Prospected Audience
学部生・大学院生・研究者・教職員 等
主 催 / Organizer
早稲田大学 産業経営研究所
早稲田大学 高等研究所
申込み / Registration
事前申込み不要です。直接会場にお越しください。
