The DOI matches its Crossref record; 31 of the 31 references it cites were found in a registry or an index.
Diversification, Integration and Emerging Market Closed‐End Funds
Open accessAbstract
We study a new class of unconditional and conditional mean‐variance spanning tests that exploits the duality between Hansen‐Jagannathan bounds (1991) and mean‐standard deviation frontiers. The tests are shown to be equivalent to standard spanning tests in population, but we document substantial differences in the small sample performance of alternative tests. Our empirical application examines the diversification benefits from emerging equity markets using an extensive new data set on U.S. and U.K.‐traded closed‐end funds. We find significant diversification benefits for the U.K. country funds, but not for the U.S. funds. The difference appears to relate to differences in portfolio holdings rather than to the behavior of premiums in the United States versus the United Kingdom.
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Cites
Newey, W. K., & West, K. D. (1987) · Econometrica · doi:10.2307/1913610 · Cited by 16,936
Large Sample Properties of Generalized Method of Moments Estimators
Hansen, L. P. (1982) · Econometrica · doi:10.2307/1912775 · Cited by 13,467
A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
Newey, W., & West, K. (1986) · National Bureau of Economic Research · doi:10.3386/t0055 · Cited by 12,278
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
Andrews, D. W. K. (1991) · Econometrica · doi:10.2307/2938229 · Cited by 4,030
Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model
Bollerslev, T. (1990) · The Review of Economics and Statistics · doi:10.2307/2109358 · Cited by 3,512
Sharpe, W. F. (1994) · The Journal of Portfolio Management · doi:10.3905/jpm.1994.409501 · Cited by 2,534
Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
Hansen, L. P., & Singleton, K. J. (1984) · Econometrica · doi:10.2307/1911486 · Cited by 2,064
Time‐Varying World Market Integration
BEKAERT, G., & HARVEY, C. R. (1995) · The Journal of Finance · doi:10.1111/j.1540-6261.1995.tb04790.x · Cited by 2,049
Self-citationHypothesis Testing with Efficient Method of Moments Estimation
Newey, W. K., & West, K. D. (1987) · International Economic Review · doi:10.2307/2526578 · Cited by 1,844
Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
Hansen, L. P., & Singleton, K. J. (1982) · Econometrica · doi:10.2307/1911873 · Cited by 1,831
Cited by
De Roon, F. A., Nijman, T. E., & Werker, B. J. M. (2001) · The Journal of Finance · doi:10.1111/0022-1082.00343 · Cited by 293
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
- BEKAERT, G., & URIAS, M. S.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1996-07
- Volume
- 51
- Issue
- 3
- Pages
- 835-869
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W1588588285
- Cited by
- 358
- References
- 31
- FWCI
- 21.74
- Type
- journal article
- Language
- en
- Open access
- green
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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