Testing for Mean - Variance Spanning With Short Sales Constraints And Transaction Costs : The Case of Emerging Markets  

Oleh:

Roon, Frans A. De ; Nijman, Theo E. ; Werker, Bas J.M.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 2 (2001), page 721-742.
Topik: MARKETS; regression analysis; studies; investment policy; emerging markets; costs; international finance; mathematical models
Fulltext: p 721.pdf (266.65KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Regression - based tests for mean - variance spanning in the case where investors face market frictions such as short sales constraints and transaction costs are proposed. It is tested whether US investors can extend their efficient set by investing in emerging markets when accounting for such frictions. For the period after the major liberalizations in the emerging markets, strong evidence for diversification benefits are found when market frictions are excluded, but this evidence disappears when investors face short sales constraints or small transaction costs. Although simulations suggest that there is a possible small - sample bias, this bias appears to be too small to affect the conclusions.

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