Assessing the impact of short-sale constraints on the gain from international diversification
By: Zhenyu Wang, Asani Sarkar, and Kai Li.
Contributors: Sarkar, Asani.; Li, Kai.; Federal Reserve Bank of New York.
Series: Staff reports ;; no. 89; Staff reports (Federal Reserve Bank of New York : Online) ;; no. 89.
Publisher: Federal Reserve Bank of New York
Published: 1999
Place of publication: [New York, N.Y.]
Language: eng
Format: Electronic resource
Subjects: Investments, American.
Description: "This paper examines the impact of short-sale constraints on the magnitude of international diversification benefit for U.S.  investors during the period of 1976-1998.  The diversification benefit is measured as the increase in expected return when switching from the U.S.  equity index portfolio to the efficient international portfolio with equal variance.  Although short-sale constraints reduce the diversification benefit, we find that the reduction caused by the constraints on emerging markets is small.  This result holds in both pre- and post-liberalization periods.  They are also unaffected by the fact that the U.S.  index portfolio is not on the efficient frontier spanned by U.S.  securities"--Federal Reserve Bank of New York web site.
Notes: Includes bibliographical references.
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