The DOI matches its Crossref record; 18 of the 18 references it cites were found in a registry or an index.
Testing for Mean‐Variance Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets
Abstract
We propose regression‐based tests for mean‐variance spanning in the case where investors face market frictions such as short sales constraints and transaction costs. We test whether U.S. 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, we find strong evidence for diversification benefits 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 our conclusions.
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Market Integration and Investment Barriers in Emerging Equity Markets
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Cited by
A trend factor: any economic gains from using information over investment horizons?
Han, Y., Zhou, G., & Zhu, Y. (2016) · Journal of Financial Economics · doi:10.1016/j.jfineco.2016.01.029 · Cited by 202
Metadata
- Authors
- De Roon, F. A., Nijman, T. E., & Werker, B. J. M.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2001-04
- Volume
- 56
- Issue
- 2
- Pages
- 721-742
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2144330062
- Cited by
- 293
- References
- 18
- FWCI
- 16.42
- Type
- journal article
- Language
- en
- Open access
- closed
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- De Roon, F. A., Nijman, T. E., & Werker, B. J. M. (2001). Testing for Mean‐Variance Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets. The Journal of Finance. https://doi.org/10.1111/0022-1082.00343
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