The Asset Allocation of Emerging Market Mutual Funds /
Benchmark following and portfolio rebalancing effects have often been cited when trying to explain international financial contagion phenomena. Using a dataset containing the country allocation of individual dedicated emerging market equity funds, we assess the relevance of mean-variance optimizatio...
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| Format: | Revue |
| Langue: | English |
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Washington, D.C. :
International Monetary Fund,
2001.
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| Collection: | IMF Working Papers; Working Paper ;
No. 2001/111 |
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| Accès en ligne: | Full text available on IMF |
| Résumé: | Benchmark following and portfolio rebalancing effects have often been cited when trying to explain international financial contagion phenomena. Using a dataset containing the country allocation of individual dedicated emerging market equity funds, we assess the relevance of mean-variance optimization and benchmark following, finding strong evidence for both. We also present a framework to systematically extract useful information about market expectations from funds' holdings. |
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| Description: | <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required |
| Description matérielle: | 1 online resource (27 pages) |
| Format: | Mode of access: Internet |
| ISSN: | 1018-5941 |
| Accès: | Electronic access restricted to authorized BRAC University faculty, staff and students |