Empirical evidence suggests that stockholders do not diversify their portfolios to any significant level, and they are compensated for bearing idiosyncratic risk. In this paper, we breakdown the abnormal returns of size, value, long-term-reversal, momentum, and short-term contrarian premiums into diversification and net selectivity components to find that the anomalies in the U.S. and the inter...

ISSN 1328-4991 ISBN 0 7325 0962 9 *This paper is work in progress and should not be cited without the authors’ imprimatur. The authors would like to acknowledge the helpful advice of Lázló Mátyás regarding the econometric analysis. The paper is the result of work undertaken for the IBIS Collaborative Program in Enterprise Dynamics. The Program is supported by IBIS Business Information P/L, the ...

1: Introduction A large literature has developed that has examined the diversification strategies most suited to a real estate portfolio. Much of this debate has centred on the relative attractiveness of regional or sector diversification. However, more recent evidence would suggest that improved diversification benefits are not purely driven by either the sector or region in which a property i...

With the emergence of new capital markets and liberalization of stock markets in recent years, there has been an increase in investors’ interest in international diversification. This is so because international diversification allows investors to have a larger basket of foreign securities to choose from as part of their portfolio assets, so as to enhance the reward-to-volatility ratio. This be...