Diversification revisited

Research in International Business and Finance

Volumn 26, Issue 2, 2012, Pages 304-316

  Kemper, Kris ^a   Lee, Allissa ^b   Simkins, Betty J ^c  

^a UNIVERSITY OF WISCONSIN EAU CLAIRE   (United States)

^b OKLAHOMA STATE UNIVERSITY   (United States)

^c OKLAHOMA STATE UNIVERSITY   (United States)

Author keywords

Asset correlation; Diversification; Financial crisis; Investments

Indexed keywords

EID: 84858174264     PISSN: 02755319     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ribaf.2011.12.004     Document Type: Article

References (18)

1. Banerjee P.S., Doran J.S., Peterson D.R. Implied volatility and future portfolio returns. J. Bank. Finance 2007, 31:3183-3199.
2. Bansal, N., Connolly, R.A., Stivers, C.T., 2009. Equity risk and treasury bond pricing. Working paper, Saint Louis University.
3. Blair B.J., Poon S.H., Taylor S.J. Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns. J. Econometr. 2001, 105:5-26.
4. Baur, D.G., Lucey, B.M., 2009. Flights and contagion - an empirical analysis of stock-bond correlations. Working paper, University of Technology, Sydney.
5. Bunda I., Hamann A.J., Lall S. Measuring Contagion in Emerging Market Bonds 2010, International Monetary Fund.
6. Campbell J.Y., Ammer J. What moves the stock and bond markets - a variance decomposition for long-term asset returns. J. Finance 1993, 48:3-37.
7. Christiansen, C., Ranaldo, A., 2005. Realized stock-bond correlation: macroeconomic announcement effects. Working paper, University of Aarhus.
8. Connolly R., Stivers C., Sun L. Stock market uncertainty and the stock-bond return relation. J. Financ. Quant. Anal. 2005, 40:161-194.
9. Demiralp, I., Hein, S.E., 2009. Default risk and the correlation of stock returns and bond yield changes. Working paper, University of New Orleans.
10. Fama E.F., French K.R. Common risk-factors in the returns of stocks and bonds. J. Financ. Econ. 1993, 33:3-56.
11. Forbes K., Rigobon R. No contagion only interdependence: measuring stock market comovements. J. Finance 2002, 57:2223-2261.
12. Huang M., Lin J. Do ETFs provide effective international diversification?. Res. Int. Bus. Finance 2011, 25:335-344.
13. Ilmanen A. Expected returns on stocks and bonds - investors must moderate their expectations. J. Portfolio Manage. 2003, 29:7-27.
14. Inci A.C., Li H.C., McCarthy J. Financial contagion: a local correlation analysis. Res. Int. Bus. Finance 2011, 25:11-25.
15. Kwan S.H. Firm-Specific information and the correlation between individual stocks and bonds. J. Financ. Econ. 1996, 40:63-80.
16. Pastor L., Stambaugh R.F. Liquidity risk and expected stock returns. J. Pol. Econ. 2003, 111:642-685.
17. Smith K.L., Swanson P.E. The dynamics among G7 government bond and equity markets and the implications for international capital market diversification. Res. Int. Bus. Finance 2008, 22:222-245.
18. Wibaut S., Wilford D.S. Holding equity and debt of the same firms can prove suboptimal. J. Appl. Finance 2009, 19:19-27.