Published October 1, 2016
| Published
Working Paper
Open
Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World
- Creators
- Cotter, John
- Gabriel, Stuart
- Roll, Richard
Chicago
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Abstract
We present new international diversification indexes across equity, sovereign debt, and real estate. The indexes reveal a marked and near ubiquitous decline in diversification potential across asset classes and markets for the post-2000 period. Analysis of panel data suggests that the decline is related to higher levels of market credit risk and volatility as well as to technology and communications innovation as proxied by internet diffusion. The decline in diversification opportunity is associated with sharply higher levels of investment risk.
Additional Information
The authors gratefully acknowledge research support from the UCLA Rosalinde and Arthur Gilbert Program in Real Estate, Finance and Urban Economics at the UCLA Ziman Center for Real Estate. Cotter also acknowledges the support of Science Foundation Ireland under Grant Number 08/SRC/FM1389. The authors thank participants at the 2016 Luxembourg Asset Management Summit and 2016 AREUEA International Meetings, as well as Abhinav Anand, Paul Calem, Niall McGeever, and Gary Painter.Attached Files
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Additional details
- Eprint ID
- 78849
- Resolver ID
- CaltechAUTHORS:20170707-102156656
- Science Foundation Ireland
- 08/SRC/FM1389
- Created
-
2017-07-13Created from EPrint's datestamp field
- Updated
-
2019-10-03Created from EPrint's last_modified field
- Caltech groups
- Social Science Working Papers
- Series Name
- Social Science Working Paper
- Series Volume or Issue Number
- 1425