Type

Working Paper

Authors

Richard Roll
Stuart A. Gabriel
John Cotter

Subjects

Economics

Topics
info eu repo classification jel g14 info eu repo classification jel g11 asset return integration and diversification info eu repo classification jel g12 info eu repo classification jel g10 info eu repo classification jel g15 info eu repo classification jel g01 fixed income real estate equities

Nowhere to run, nowhere to hide: asset diversification in a flat world (2016)

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.
Collections Ireland -> University College Dublin -> Business Research Collection
Ireland -> University College Dublin -> Geary Institute Research Collection
Ireland -> University College Dublin -> College of Business

Full list of authors on original publication

Richard Roll, Stuart A. Gabriel, John Cotter

Experts in our system

1
Richard Roll
University College Dublin
Total Publications: 5
 
2
Stuart A. Gabriel
University College Dublin
Total Publications: 8
 
3
John Cotter
University College Dublin
Total Publications: 93