Rm. 1109 on the 11th floor, Building #11, Waseda University<\/a>![\"PDF\u30d5\u30a1\u30a4\u30eb\u3092\u958b\u304d\u307e\u3059\"](\"http:\/\/www.waseda.jp\/wias\/common\/images\/mod_ico_pdf_01.gif\")
<\/p>\n\u4e3b\u3000\u65e8 \/\u00a0 Outline<\/h5>\n
“Global Diversification with Local Stocks: A Road Less Traveled”<\/p>\n
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.
\nSpecifically, 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.
\nOur 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 \u2013 country, industry, and style; style exerts the greatest effect, followed by country and industry; (iii) \u2018Local\u2019 stocks that are least driven by the common global factors are significantly more effective in portfolio risk diversification than either domestic or \u2018global\u2019 stocks; this result holds during the recent global financial crises; (iv) Systematically identifying local stocks and\u00a0 holding them optimally, investors can significantly benefit from the enhanced the mean-variance efficiency within the familiar confines of developed markets.
\nIn 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.<\/p>\n
\u30d7\u30ed\u30b0\u30e9\u30e0\u00a0\/ Schedule<\/h5>\n
13\uff1a00 Opening Remarks \uff08Hideaki Miyajima (Waseda University)\uff09
\n13\uff1a05 Presentation
\n14\uff1a05 Question-and-answer session
\n14\uff1a25 Concluding Remarks\uff08Hideaki Miyajima (Waseda University)\uff09<\/p>\n
\u5bfe\u3000\u8c61\u00a0\/ Prospected Audience<\/h5>\n
Faculty and staff members of a university, grad students, the general publics<\/p>\n
\u4e3b\u3000\u50ac \/\u00a0 Organizer<\/h5>\n
Research Institute of Business Administration,Waseda University
\nWaseda Institute for Advanced Study,Waseda University<\/p>\n
\u7533\u8fbc\u307f\u00a0\/ Registration<\/h5>\n
Free of charge. Please come to the event venue directly.<\/p>\n","protected":false},"excerpt":{"rendered":"
Waseda Organizational and Financial Economics Seminar: “Global Diversification with Local Stocks: A Road […]<\/p>\n","protected":false},"author":6,"featured_media":2762,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[95],"tags":[82,94,73],"class_list":["post-4266","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-news-en","tag-events-en","tag-general-en","tag-research-en"],"acf":[],"_links":{"self":[{"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/posts\/4266","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/users\/6"}],"replies":[{"embeddable":true,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/comments?post=4266"}],"version-history":[{"count":1,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/posts\/4266\/revisions"}],"predecessor-version":[{"id":4285,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/posts\/4266\/revisions\/4285"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/media\/2762"}],"wp:attachment":[{"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/media?parent=4266"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/categories?post=4266"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/tags?post=4266"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}