Cotter, John and Gabriel, Stuart and Roll, Richard (2016) Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World. Social Science Working Paper, 1425. California Institute of Technology , Pasadena, CA. http://resolver.caltech.edu/CaltechAUTHORS:20170707-102156656
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Abstract
We present new international diversification indexes across equity, sovereign debt, and real estate. The indexes reveal a marked and near ubiquitous decline in diversification potential across asset classes and markets for the post-2000 period. Analysis of panel data suggests that the decline is related to higher levels of market credit risk and volatility as well as to technology and communications innovation as proxied by internet diffusion. The decline in diversification opportunity is associated with sharply higher levels of investment risk.
| Item Type: | Report or Paper (Working Paper) | ||||
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| Additional Information: | The authors gratefully acknowledge research support from the UCLA Rosalinde and Arthur Gilbert Program in Real Estate, Finance and Urban Economics at the UCLA Ziman Center for Real Estate. Cotter also acknowledges the support of Science Foundation Ireland under Grant Number 08/SRC/FM1389. The authors thank participants at the 2016 Luxembourg Asset Management Summit and 2016 AREUEA International Meetings, as well as Abhinav Anand, Paul Calem, Niall McGeever, and Gary Painter. | ||||
| Group: | Social Science Working Papers | ||||
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| Subject Keywords: | asset return integration and diversification, equities, fixed income, real estate | ||||
| Classification Code: | JEL Classification: G01, G10, G11, G12, G14, G15 | ||||
| Record Number: | CaltechAUTHORS:20170707-102156656 | ||||
| Persistent URL: | http://resolver.caltech.edu/CaltechAUTHORS:20170707-102156656 | ||||
| Usage Policy: | No commercial reproduction, distribution, display or performance rights in this work are provided. | ||||
| ID Code: | 78849 | ||||
| Collection: | CaltechAUTHORS | ||||
| Deposited By: | Hanna Storlie | ||||
| Deposited On: | 13 Jul 2017 16:50 | ||||
| Last Modified: | 13 Jul 2017 16:50 |
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