VÝZNAM ODVETVOVÝCH A NÁRODNÝCH EFEKTOV V TVORBE DIVERZIFIKOVANÉHO PORTFÓLIA CENNÝCH PAPIEROV

• Authors: Výrost Tomáš , Farkašovská Mária

Title variants

EN

Importence of industry and country effects in portfolio diversification

• Languages of publication: SK

Abstracts

EN

The paper assesses the importance of industry effects present in stock returns, and compares them to country effects. We follow the assumption that strong industry effects might be present as a result of increasing power of globalization and economic integration, which lower the country-level differences. We find this development to be a contradiction to the theories of previous decades that suggested a dominance of country over the industry effects. As the economies change, we expect the country effect to become less dominant, or even fall behind the industry effects. These ideas are used in an application of portfolio management, in which we compare the risk and return characteristics of portfolios created using different strategies. By forming diversified and concentrated portfolios with industrial and country emphasis we show that industry diversification provides the greatest risk reduction.

Keywords

EN

COUNTRY EFFECTS; DIVERSIFICATION; INDUSTRY EFFECTS; PORTFOLIO THEORY; STOCK RETURNS

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Institute of Slovak and World Economics and Institute for Forecasting, Slovak Academy of Sciences
• Journal: Ekonomický časopis (Journal of Economics)
• Year: 2005
• Volume: 53
• Issue: 4
• Pages: 399-414
• Document type: ARTICLE

Contributors

author

Výrost Tomáš

author

Farkašovská Mária

• T. Vyrost, Ustav slovenskej a svetovej ekonomiky SAV, Sancová 56, 811 05 Bratislava 1, Slovak Republic

Identifiers

CEJSH db identifier

06SKAAAA00882117