Where are the gains from international diversification?

Financial Analysts Journal

Volumn 52, Issue 1, 1996, Pages 8-14

  Sinquefield, Rex A ^a  

^a Dimensional Fund Advisors Inc   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0040520571     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v52.n1.1961     Document Type: Article

References (8)

1. Greenwich Research Report (Stamford, CT: Greenwich Research Associates, 1995).
2. Eugene F. Fama and Kenneth R. French, "Common Risk Factors in the Returns on Stocks and Bonds," Journal of Financial Economics, vol. 33, no. 1, (February 1993):3-56; and Robert C. Merton, "An Intertemporal Capital Asset Pricing Model," Econometrica, vol. 41 (September 1973):867-87.
3. Eugene F. Fama and Kenneth R. French, "Common Risk Factors in the Returns on Stocks and Bonds," Journal of Financial Economics, vol. 33, no. 1, (February 1993):3-56; and Robert C. Merton, "An Intertemporal Capital Asset Pricing Model," Econometrica, vol. 41 (September 1973):867-87.
4. Eugene F. Fama and Kenneth R. French, "Some International Evidence on Book-to-Market-Equity and Stock Returns," manuscript (1993); and Carlo Capaul, Ian Rowley, and William F. Sharpe, "International Value and Growth Stock Returns," Financial Analysts Journal, vol. 49, no. 1 (January/February 1993):27-36.
5. Eugene F. Fama and Kenneth R. French, "Some International Evidence on Book-to-Market-Equity and Stock Returns," manuscript (1993); and Carlo Capaul, Ian Rowley, and William F. Sharpe, "International Value and Growth Stock Returns," Financial Analysts Journal, vol. 49, no. 1 (January/February 1993):27-36.
6. The comments of David Booth, Truman Clark, George Constantinides, Larry Davanzo, Richard Ennis, Gene Fama, Gene Fama, Jr., Ken French, Donald Keim, Merton Miller, Bill Sharpe, Larry Siegel, Jeanne Sinquefield, and participants at the May 1995 CRSP seminar are gratefully acknowledged.
7. Roger G. Ibbotson and Rex A. Sinquefield, Stocks, Bonds, Bills and Inflation: Historical Returns (Homewood, IL: Dow Jones - Irwin, 1989). Used with permission; updates by Ibbotson Associates Yearbook.
8. Edwin J. Elton, Martin J. Gruber, Sanjiv Das, and Matthew Hlavka, "Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios," The Review of Financial Studies, vol 6, no. 1 (1993):1-22.