The Case for Intra-Regional Style Analysis: Diversification or Rotation?

Autor:	Hsiao-Ying Chao, Charles D. Collver, Natcha Limthanakom
Rok vydání:	2009
Předmět:	Average return Style analysis education Economics Econometrics Diversification (marketing strategy) Emerging markets Southeast asian Capitalization Southeast asia
Zdroj:	SSRN Electronic Journal.
ISSN:	1556-5068
DOI:	10.2139/ssrn.1518659
Popis:	In contrast to some earlier studies, we document statistically significant within-country style effects in several Southeast Asian emerging market portfolios. Small capitalization and value stocks tend to outperform their style counterparts in the complete samples. While average return correlations among the zero-cost style portfolios are low – emphasizing the value of an intra-regional diversification strategy – these correlations exhibit significant variation over time. Measures of integration for the style portfolios are also low on average but tend to vary over time. These results suggest that while diversification is helpful on average, there are some periods of time when a regional style rotation strategy is warranted and other times when country-specific rotation strategies are reasonable.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::2d08a8b3cce078f08a3e4b75219c633c https://doi.org/10.2139/ssrn.1518659 Zobrazit plný text záznamu