The Asset Allocation of Emerging Market Mutual Funds |
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| Author:
| Disyatat, Piti
Gelos, Gaston |
| ISBN: | 978-1-4518-5347-6 |
| Publication Date: | Aug 2001 |
| Publisher: | International Monetary Fund
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| Book Format: | Paperback |
| List Price: | AUD $23.95 |
Book Description:
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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.
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.