International asset allocation with time-varying investment opportunities

被引：13
作者：
Timmermann, A [1 ]
Blake, D
机构：
[1] Univ Calif San Diego, San Diego, CA 92103 USA
[2] Cass Business Sch, Pensions Inst, London, England
来源：
JOURNAL OF BUSINESS | 2005年 / 78卷 / 01期
关键词：
D O I：
10.1086/426520
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper analyzes the international equity holdings of a large panel of U. K. pension funds. We model portfolio weights as a function of time-varying conditional moments and find that a substantial part of the evolution in portfolio weights is explained by time-varying conditional expected returns, volatilities, and covariances with domestic equity returns. Estimates of returns from international market timing suggest a net loss of 0.2% per annum for the average fund.
引用
收藏
页码：71 / 98
页数：28
相关论文
共 29 条
[11]   HOME BIAS IN EQUITY PORTFOLIOS, INFLATION HEDGING, AND INTERNATIONAL CAPITAL-MARKET EQUILIBRIUM [J].
COOPER, I ;
KAPLANIS, E .
REVIEW OF FINANCIAL STUDIES, 1994, 7 (01) :45-60
[12]   How big is the premium for currency risk? [J].
De Santis, G ;
Gerard, B .
JOURNAL OF FINANCIAL ECONOMICS, 1998, 49 (03) :375-412
[13]   COMPARING PREDICTIVE ACCURACY [J].
DIEBOLD, FX ;
MARIANO, RS .
JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 1995, 13 (03) :253-263
[14]  
DUMAS B, 1998, UNPUB EFFECT EMU CAP
[15]  
Erb CB, 1994, FINANCIAL ANAL J NOV, P32
[16]   THE RISK AND PREDICTABILITY OF INTERNATIONAL EQUITY RETURNS [J].
FERSON, WE ;
HARVEY, CR .
REVIEW OF FINANCIAL STUDIES, 1993, 6 (03) :527-566
[17]   The portfolio flows of international investors [J].
Froot, KA ;
O'Connell, PGJ ;
Seasholes, MS .
JOURNAL OF FINANCIAL ECONOMICS, 2001, 59 (02) :151-193
[18]   Market timing ability and volatility implied in investment newsletters' asset allocation recommendations [J].
Graham, JR ;
Harvey, CR .
JOURNAL OF FINANCIAL ECONOMICS, 1996, 42 (03) :397-421
[19]  
HARVEY C, 1991, J FINANC, V46, P11
[20]   ON MARKET TIMING AND INVESTMENT PERFORMANCE .2. STATISTICAL PROCEDURES FOR EVALUATING FORECASTING SKILLS [J].
HENRIKSSON, RD ;
MERTON, RC .
JOURNAL OF BUSINESS, 1981, 54 (04) :513-533
123