International equity U.S. mutual funds and diversification benefits

Research output: Contribution to journalArticlepeer-review

Abstract

This study examines whether U.S. international equity mutual funds provide out-of-sample diversification benefits in the presence of no short selling constraints. Ignoring the economic state, international mutual funds do not provide out-of-sample diversification benefits. However international mutual funds do provide out-of-sample diversification benefits in certain economic states. The benefits are concentrated when the lag one-month U.S. Treasury Bill return is lower than normal.
Original languageEnglish
Pages (from-to)246-257
Number of pages12
JournalInternational Review of Economics and Finance
Volume76
Early online date18 Jun 2021
DOIs
Publication statusE-pub ahead of print - 18 Jun 2021

Keywords

  • diversification benefits
  • resampled portfolio efficiency
  • mutual funds

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