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Unexploited Gains from International Diversification : Patterns of Portfolio Holdings around the World

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dc.contributor.authorRigobon, Roberto
dc.contributor.authorDidier, Tatiana
dc.contributor.authorSchmukler, Sergio L.
dc.date.accessioned2012-03-19T17:59:46Z
dc.date.available2012-03-19T17:59:46Z
dc.date.issued2011-01-01
dc.description.abstractThis paper studies how portfolios with a global investment scope are allocated internationally using a unique micro dataset on U.S. equity mutual funds. While mutual funds have great flexibility to invest globally, they invest in a surprisingly limited number of stocks, around 100. The number of holdings in stocks and countries from a given region declines as the investment scope of funds broadens. This restrictive investment practice has costs. A mean-variance strategy shows unexploited gains from further international diversification. Mutual funds investing globally could achieve better risk-adjusted returns by broadening their asset allocation, including stocks held by more specialized funds within the same mutual fund family (company). This investment pattern is not explained by lack of information or instruments, transaction costs, or a better ability of global funds to minimize negative outcomes. Instead, industry practices related to organizational factors seem to play an important role.en
dc.identifierhttp://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20110110085213
dc.identifier.doi10.1596/1813-9450-5524
dc.identifier.urihttps://hdl.handle.net/10986/3297
dc.languageEnglish
dc.relation.ispartofseriesPolicy Research working paper ; no. WPS 5524
dc.rightsCC BY 3.0 IGO
dc.rights.holderWorld Bank
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/igo/
dc.subjectACCOUNTING
dc.subjectARBITRAGE
dc.subjectASSET ALLOCATION
dc.subjectASSET ALLOCATIONS
dc.subjectASSET GROWTH
dc.subjectASSET HOLDINGS
dc.subjectASSET MANAGERS
dc.subjectASSET RETURNS
dc.subjectASSETS UNDER MANAGEMENT
dc.subjectBALANCE SHEETS
dc.subjectBANKS
dc.subjectBASIS POINTS
dc.subjectBENCHMARK
dc.subjectBENCHMARK INDEX
dc.subjectBENCHMARK INDEXES
dc.subjectBINDING CONSTRAINT
dc.subjectBINDING CONSTRAINTS
dc.subjectCAPITAL FLOWS
dc.subjectCAPITAL MARKETS
dc.subjectCENTRAL BANK
dc.subjectCOMMON STOCKS
dc.subjectCONFLICTS OF INTEREST
dc.subjectCORPORATE BEHAVIOR
dc.subjectCOST OF CAPITAL
dc.subjectCOUNTRY PORTFOLIOS
dc.subjectDATA AVAILABILITY
dc.subjectDEBT
dc.subjectDEVELOPING COUNTRIES
dc.subjectDEVELOPING COUNTRY
dc.subjectDEVELOPING ECONOMIES
dc.subjectDIVERSIFICATION
dc.subjectDIVERSIFICATION BENEFITS
dc.subjectDOMESTIC INVESTMENTS
dc.subjectDOMESTIC MUTUAL FUNDS
dc.subjectECONOMIC ACTIVITY
dc.subjectEMERGING ECONOMIES
dc.subjectEMERGING EQUITY MARKETS
dc.subjectEMERGING MARKET
dc.subjectEMERGING MARKET ASSETS
dc.subjectEMERGING MARKET FUND
dc.subjectEMERGING MARKET FUNDS
dc.subjectEMERGING MARKET INDEX
dc.subjectEMERGING MARKETS
dc.subjectEQUITY MARKETS
dc.subjectEQUITY MUTUAL FUND
dc.subjectEQUITY MUTUAL FUND INDUSTRY
dc.subjectEQUITY MUTUAL FUNDS
dc.subjectEXCESS RETURNS
dc.subjectEXPOSURE
dc.subjectEXPOSURES
dc.subjectFINANCIAL INTEGRATION
dc.subjectFINANCIAL INTERMEDIARIES
dc.subjectFINANCIAL MARKETS
dc.subjectFINANCIAL SERVICES
dc.subjectFINANCIAL SERVICES INDUSTRY
dc.subjectFINANCIAL STUDIES
dc.subjectFINANCIAL SUPPORT
dc.subjectFINANCING COSTS
dc.subjectFOREIGN ASSETS
dc.subjectFOREIGN FUND
dc.subjectFOREIGN FUNDS
dc.subjectFOREIGN STOCKS
dc.subjectFUND AGE
dc.subjectFUND CATEGORIES
dc.subjectFUND INVESTMENTS
dc.subjectFUND MANAGER
dc.subjectFUND MANAGERS
dc.subjectFUND RETURNS
dc.subjectFUND SIZE
dc.subjectFUND TYPE
dc.subjectFUND TYPES
dc.subjectFUNDS OF FUNDS
dc.subjectGLOBAL ASSET
dc.subjectGLOBAL FUND
dc.subjectGLOBAL FUNDS
dc.subjectGLOBAL INVESTMENT
dc.subjectGLOBAL MUTUAL FUNDS
dc.subjectGLOBAL PORTFOLIO
dc.subjectGLOBALIZATION
dc.subjectHEDGE FUNDS
dc.subjectINCOME
dc.subjectINDIVIDUAL FUND
dc.subjectINDIVIDUAL FUNDS
dc.subjectINDIVIDUAL MUTUAL FUND
dc.subjectINDIVIDUAL MUTUAL FUNDS
dc.subjectINFORMATION SHARING
dc.subjectINFORMATION TECHNOLOGY
dc.subjectINSTITUTIONAL INVESTOR
dc.subjectINSTITUTIONAL INVESTORS
dc.subjectINSTRUMENT
dc.subjectINSURANCE
dc.subjectINSURANCE PREMIUM
dc.subjectINTERNATIONAL ASSET
dc.subjectINTERNATIONAL BANK
dc.subjectINTERNATIONAL CAPITAL
dc.subjectINTERNATIONAL CAPITAL MARKETS
dc.subjectINTERNATIONAL DIVERSIFICATION
dc.subjectINTERNATIONAL ECONOMICS
dc.subjectINTERNATIONAL EQUITY
dc.subjectINTERNATIONAL INVESTMENT
dc.subjectINTERNATIONAL INVESTMENTS
dc.subjectINTERNATIONAL INVESTORS
dc.subjectINTERNATIONAL MARKETS
dc.subjectINTERNATIONAL PORTFOLIO
dc.subjectINTERNATIONAL PORTFOLIOS
dc.subjectINVESTABLE ASSETS
dc.subjectINVESTING
dc.subjectINVESTMENT CHOICES
dc.subjectINVESTMENT DECISIONS
dc.subjectINVESTMENT FLOWS
dc.subjectINVESTMENT IN STOCKS
dc.subjectINVESTMENT OPPORTUNITIES
dc.subjectINVESTMENT PATTERN
dc.subjectINVESTMENT PATTERNS
dc.subjectINVESTMENT POLICIES
dc.subjectINVESTMENT RESTRICTIONS
dc.subjectINVESTMENT STRATEGIES
dc.subjectLACK OF INFORMATION
dc.subjectLEVEL OF RISK
dc.subjectLOW-INCOME COUNTRIES
dc.subjectMARKET CAPITALIZATION
dc.subjectMICRODATA
dc.subjectMIDDLE-INCOME COUNTRIES
dc.subjectMINIMUM INVESTMENT
dc.subjectMINIMUM INVESTMENT REQUIREMENTS
dc.subjectMUTUAL FUND
dc.subjectMUTUAL FUND COMPANIES
dc.subjectMUTUAL FUND COMPANY
dc.subjectMUTUAL FUND DATA
dc.subjectMUTUAL FUND FAMILIES
dc.subjectMUTUAL FUND FAMILY
dc.subjectMUTUAL FUND HOLDINGS
dc.subjectMUTUAL FUND INDUSTRY
dc.subjectMUTUAL FUND INVESTMENT
dc.subjectMUTUAL FUND INVESTMENTS
dc.subjectMUTUAL FUND MANAGERS
dc.subjectMUTUAL FUND PERFORMANCE
dc.subjectMUTUAL FUND PORTFOLIO
dc.subjectMUTUAL FUND PORTFOLIOS
dc.subjectMUTUAL FUND RETURNS
dc.subjectNAV
dc.subjectNET ASSET
dc.subjectNET ASSET VALUE
dc.subjectNET ASSETS
dc.subjectOFFSHORE FINANCIAL CENTERS
dc.subjectOPEN-ENDED FUNDS
dc.subjectPARTICULAR COUNTRIES
dc.subjectPARTICULAR COUNTRY
dc.subjectPENSION
dc.subjectPENSION FUNDS
dc.subjectPERFORMANCE EVALUATION
dc.subjectPERFORMANCE OF MUTUAL FUNDS
dc.subjectPOLITICAL ECONOMY
dc.subjectPORTFOLIO
dc.subjectPORTFOLIO ALLOCATION
dc.subjectPORTFOLIO ALLOCATIONS
dc.subjectPORTFOLIO CHOICE
dc.subjectPORTFOLIO CHOICES
dc.subjectPORTFOLIO HOLDING
dc.subjectPORTFOLIO HOLDINGS
dc.subjectPORTFOLIO INVESTMENT
dc.subjectPORTFOLIO STRATEGY
dc.subjectPORTFOLIO WEIGHT
dc.subjectPORTFOLIO WEIGHTS
dc.subjectPORTFOLIOS
dc.subjectREGIONAL FUNDS
dc.subjectRETIREMENT SAVINGS
dc.subjectRETURN
dc.subjectRETURN DATA
dc.subjectRETURN DIFFERENCES
dc.subjectRETURN DIFFERENTIALS
dc.subjectRETURN HISTORY
dc.subjectRETURN VOLATILITY
dc.subjectRETURNS
dc.subjectRISK DIVERSIFICATION
dc.subjectRISK TAKING
dc.subjectSECURITIES
dc.subjectSECURITY HOLDING
dc.subjectSTOCK HOLDINGS
dc.subjectSTOCK TURNOVER
dc.subjectSTOCK-PICKING
dc.subjectSTOCKS
dc.subjectSUBSIDIZATION
dc.subjectTIME HORIZON
dc.subjectTRADING
dc.subjectTRADING COSTS
dc.subjectTRANSACTION
dc.subjectTRANSACTION COSTS
dc.subjectTYPES OF FUNDS
dc.subjectWORLD FUNDS
dc.titleUnexploited Gains from International Diversification : Patterns of Portfolio Holdings around the Worlden
dspace.entity.typePublication
okr.crossref.titleUnexploited gains from international diversification: Patterns of portfolio holdings around the world
okr.date.disclosure2011-01-01
okr.date.doiregistration2025-04-10T11:35:11.554534Z
okr.doctypePublications & Research::Policy Research Working Paper
okr.docurlhttp://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20110110085213
okr.guid402231468165874238
okr.identifier.doi10.1596/1813-9450-5524
okr.identifier.externaldocumentum000158349_20110110085213
okr.identifier.internaldocumentum13416944
okr.identifier.reportWPS5524
okr.language.supporteden
okr.pdfurlhttp://www-wds.worldbank.org/external/default/WDSContentServer/WDSP/IB/2011/01/10/000158349_20110110085213/Rendered/PDF/WPS5524.pdfen
okr.region.administrativeThe World Region
okr.region.administrativeThe World Region
okr.relation.associatedurlhttps://openknowledge.worldbank.org/handle/10986/16213
okr.sectorFinance :: General finance sector
okr.unitDevelopment Research Group (DECRG)
okr.unitDECRG: Macroeconomics & Growth (DECMG)
okr.volume1 of 1
relation.isAuthorOfPublicatione8bf256b-feec-5fd2-9021-2f34752b8f1e
relation.isAuthorOfPublicationad1ad457-a974-53de-815c-c7010e0fdd74
relation.isAuthorOfPublication.latestForDiscoveryad1ad457-a974-53de-815c-c7010e0fdd74
relation.isSeriesOfPublication26e071dc-b0bf-409c-b982-df2970295c87
relation.isSeriesOfPublication.latestForDiscovery26e071dc-b0bf-409c-b982-df2970295c87
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