메뉴 건너뛰기




Volumn 78, Issue 1, 2005, Pages 71-98

International asset allocation with time-varying investment opportunities

Author keywords

[No Author keywords available]

Indexed keywords


EID: 17644375205     PISSN: 00219398     EISSN: None     Source Type: Journal    
DOI: 10.1086/426520     Document Type: Article
Times cited : (30)

References (29)
  • 1
    • 84944838161 scopus 로고
    • International portfolio selection and corporation finance: A synthesis
    • Adler, M., and B. Dumas. 1983. International portfolio selection and corporation finance: A synthesis. Journal of Finance 46:925-84.
    • (1983) Journal of Finance , vol.46 , pp. 925-984
    • Adler, M.1    Dumas, B.2
  • 2
    • 84977718189 scopus 로고
    • Characterizing predictable components in excess returns on equity and foreign exchange markets
    • Bekaert, G., and R. Hodrick. 1992. Characterizing predictable components in excess returns on equity and foreign exchange markets. Journal of Finance 47:467-510.
    • (1992) Journal of Finance , vol.47 , pp. 467-510
    • Bekaert, G.1    Hodrick, R.2
  • 4
    • 0002518156 scopus 로고    scopus 로고
    • Portfolio rebalancing or return chasing?
    • Bohn, H., and L. Tesar. 1996. Portfolio rebalancing or return chasing? American Economic Review 86:77-81.
    • (1996) American Economic Review , vol.86 , pp. 77-81
    • Bohn, H.1    Tesar, L.2
  • 5
    • 0001023182 scopus 로고
    • Modelling the coherence in short-run nominal exchange rates: A multi-variate generalized ARCH approach
    • Bollerslev, T. 1990. Modelling the coherence in short-run nominal exchange rates: a multi-variate generalized ARCH approach. Review of Economics and Statistics 72:498-505.
    • (1990) Review of Economics and Statistics , vol.72 , pp. 498-505
    • Bollerslev, T.1
  • 6
    • 0040747533 scopus 로고    scopus 로고
    • International portfolio investment flows
    • Brennan, M., and H. Cao. 1997. International portfolio investment flows. Journal of Finance 52:1851-80.
    • (1997) Journal of Finance , vol.52 , pp. 1851-1880
    • Brennan, M.1    Cao, H.2
  • 8
    • 84977709173 scopus 로고
    • Predictable stock returns in the United States and Japan: A study of long-term capital market integration
    • Campbell, J., and Y. Hamao. 1992. Predictable stock returns in the United States and Japan: A study of long-term capital market integration. Journal of Finance 47:43-69.
    • (1992) Journal of Finance , vol.47 , pp. 43-69
    • Campbell, J.1    Hamao, Y.2
  • 9
    • 0000759899 scopus 로고    scopus 로고
    • Do foreign investors destabilize stock markets? The Korean experience in 1997
    • Choe, H., B.-C. Kho, and R. Stulz. 1999. Do foreign investors destabilize stock markets? The Korean experience in 1997. Journal of Financial Economics 54:227-64.
    • (1999) Journal of Financial Economics , vol.54 , pp. 227-264
    • Choe, H.1    Kho, B.-C.2    Stulz, R.3
  • 10
    • 21344496561 scopus 로고
    • Home bias in equity portfolios, inflation hedging, and international capital market equilibrium
    • Cooper, I., and E. Kaplanis. 1994. Home bias in equity portfolios, inflation hedging, and international capital market equilibrium. Review of Financial Studies 7:45-60.
    • (1994) Review of Financial Studies , vol.7 , pp. 45-60
    • Cooper, I.1    Kaplanis, E.2
  • 14
    • 84993909002 scopus 로고
    • The world price of foreign exchange risk
    • Dumas, B., and Solnik, B. 1995. The world price of foreign exchange risk. Journal of Finance 50:445-79.
    • (1995) Journal of Finance , vol.50 , pp. 445-479
    • Dumas, B.1    Solnik, B.2
  • 15
    • 0003168194 scopus 로고
    • Forecasting international equity correlations
    • Erb, C., C. Harvey, and T. Viskanta. 1994. Forecasting international equity correlations. Financial Analysts Journal (November-December): 32-45.
    • (1994) Financial Analysts Journal , Issue.NOVEMBER-DECEMBER , pp. 32-45
    • Erb, C.1    Harvey, C.2    Viskanta, T.3
  • 16
    • 21344486016 scopus 로고
    • The risk and predictability of international equity returns
    • Ferson, W., and C. Harvey. 1993. The risk and predictability of international equity returns. Review of Financial Studies 6:527-67.
    • (1993) Review of Financial Studies , vol.6 , pp. 527-567
    • Ferson, W.1    Harvey, C.2
  • 18
    • 0030295871 scopus 로고    scopus 로고
    • Market timing ability and volatility implied in investment news-letters' asset allocation recommendations
    • Graham, J., and C. Harvey. 1996. Market timing ability and volatility implied in investment news-letters' asset allocation recommendations. Journal of Financial Economics 42:397-421.
    • (1996) Journal of Financial Economics , vol.42 , pp. 397-421
    • Graham, J.1    Harvey, C.2
  • 19
    • 84977722638 scopus 로고
    • The world price of covariance risk
    • Harvey, C. 1991. The world price of covariance risk. Journal of Finance 46:11-158.
    • (1991) Journal of Finance , vol.46 , pp. 11-158
    • Harvey, C.1
  • 20
    • 0001309573 scopus 로고
    • On market timing and investment performance. II. Statistical procedures for evaluating forecasting skills
    • Henriksson, R., and R. Merton. 1981. On market timing and investment performance. II. Statistical procedures for evaluating forecasting skills. Journal of Business 54:513-33.
    • (1981) Journal of Business , vol.54 , pp. 513-533
    • Henriksson, R.1    Merton, R.2
  • 21
    • 0031256734 scopus 로고    scopus 로고
    • Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan
    • Kang, J. K., and R. Stulz. 1997. Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan. Journal of Financial Economics 46:3-28.
    • (1997) Journal of Financial Economics , vol.46 , pp. 3-28
    • Kang, J.K.1    Stulz, R.2
  • 22
    • 17644426536 scopus 로고    scopus 로고
    • International home bias in international finance and business cycles
    • National Bureau of Economic Research, Cambridge, MA
    • Lewis, K. K. 1998. International home bias in international finance and business cycles. Working paper no. 6351, National Bureau of Economic Research, Cambridge, MA.
    • (1998) Working Paper No. 6351 , vol.6351
    • Lewis, K.K.1
  • 23
    • 0000264314 scopus 로고
    • Do bulls and bears move across borders? International transmission of stock returns and volatility
    • Lin, W., R. Engle, and T. Ito. 1994. Do bulls and bears move across borders? International transmission of stock returns and volatility. Review of Financial Studies 7:507-38.
    • (1994) Review of Financial Studies , vol.7 , pp. 507-538
    • Lin, W.1    Engle, R.2    Ito, T.3
  • 24
    • 0002525307 scopus 로고
    • Is the correlation in international equity returns constant: 1970-1990?
    • Longin, F., and B. Solnik. 1995. Is the correlation in international equity returns constant: 1970-1990? Journal of International Money and Finance 14:3-26.
    • (1995) Journal of International Money and Finance , vol.14 , pp. 3-26
    • Longin, F.1    Solnik, B.2
  • 26
    • 0342508485 scopus 로고    scopus 로고
    • The determinants of cross-border equity flows: The geography of information
    • Center for Economic Policy Research
    • Portes, R., and H. Rey. 1999. The determinants of cross-border equity flows: The geography of information. Discussion paper 2225. Center for Economic Policy Research.
    • (1999) Discussion Paper , vol.2225
    • Portes, R.1    Rey, H.2
  • 27
    • 49549151896 scopus 로고
    • An equilibrium model of international capital market
    • Solnik, B. 1974. An equilibrium model of international capital market. Journal of Economic Theory 9:500-24.
    • (1974) Journal of Economic Theory , vol.9 , pp. 500-524
    • Solnik, B.1
  • 28
    • 34249011954 scopus 로고
    • A model of international asset pricing
    • Stulz, R. 1981. A model of international asset pricing, Journal of Financial Economics 9:383-406.
    • (1981) Journal of Financial Economics , vol.9 , pp. 383-406
    • Stulz, R.1
  • 29
    • 0001921667 scopus 로고
    • International equity transactions and US portfolio choice
    • J. Frankel (ed.) chapter 4. Chicago: University of Chicago Press
    • Tesar, L., and I. Werner. 1994. International equity transactions and US portfolio choice. In J. Frankel (ed.) The internationalization of equity markets, chapter 4. Chicago: University of Chicago Press.
    • (1994) The Internationalization of Equity Markets
    • Tesar, L.1    Werner, I.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.