The price of international equity ETFs: The role of relative liquidity
Sign Up to like & getrecommendations! Published in 2020 at "Journal of International Financial Markets, Institutions and Money"
DOI: 10.1016/j.intfin.2020.101190
Abstract: Abstract We examine the effect of the relative liquidity of international equity exchange-traded funds (ETFs) and their constituent portfolios on the price difference between the fund’s market prices and its net asset values. We use… read more here.
Keywords: liquidity; international equity; price; relative liquidity ... See more keywords
An empirical examination of the diversification benefits of U.K. international equity closed-end funds
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DOI: 10.1016/j.irfa.2017.10.010
Abstract: I use the Bayesian approach of Wang (1998) to examine the diversification benefits of international equity U.K. closed-end funds (CEF) in the presence of market frictions. No short selling constraints substantially reduce, and in some… read more here.
Keywords: international equity; benefits international; diversification benefits; diversification ... See more keywords
Foreign bias in Australia's international equity holdings
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DOI: 10.1016/j.rfe.2016.09.002
Abstract: The paper uses various approaches: capital asset pricing, mean-variance, global minimum-variance, Bayes-Stein, Bayesian and multi-prior to develop foreign equity bias measures for Australia’s international equity holdings in 41 countries, over the period 2001 to 2012.… read more here.
Keywords: equity; international equity; australia international; foreign bias ... See more keywords