国际金融管理resnick课件chapok.pptxVIP

INTERNATIONALFINANCIALMANAGEMENTEUN/RESNICKFifthEditionCopyright?2009byTheMcGraw-HillCompanies,Inc.Allrightsreserved.McGraw-Hill/Irwin

EUN/RESNICKFifthEditionChapterObjective:Whyinvestorsdiversifytheirportfoliosinternationally.Howmuchinvestorscangainfrominternationaldiversification.Theeffectsoffluctuatingexchangeratesoninternationalportfolioinvestments.WhetherandhowmuchinvestorscanbenefitfrominvestinginU.S.basedinternationalmutualfunds.Thereasonsfor“homebias”inportfolioholdings.15ChapterFifteenInternationalPortfolioInvestment15-1

ChapterOutlineInternationalCorrelationStructureandRiskDiversificationOptimalInternationalPortfolioSelectionEffectsofChangesintheExchangeRateInternationalBondInvestmentInternationalMutualFunds:APerformanceEvaluationInternationalDiversificationthroughCountryFundsInternationalDiversificationwithADRsInternationalDiversificationwithETFsInternationalDiversificationwithHedgeFundsWhyHomeBiasinPortfolioHoldings?15-2

InternationalCorrelationStructureandRiskDiversificationSecurityreturnsaremuchlesscorrelatedacrosscountriesthanwithinacountry.Thisissobecauseeconomic,political,institutional,andevenpsychologicalfactorsaffectingsecurityreturnstendtovaryacrosscountries,resultinginlowcorrelationsamonginternationalsecurities.Businesscyclesareoftenhighasynchronousacrosscountries.15-3

InternationalCorrelationStructureRelativelylowinternationalcorrelationsimplythatinvestorsshouldbeabletoreduceportfolioriskmoreiftheydiversifyinternationallyratherthandomestically.StockMarketAUFRGMJPNLSWUKUSAustralia.59???????France.29.58??????Germany.18.31.65?????Japan(JP).15.24.30.42????Netherlands.24.34.51.28.62???Switzerland.36.37.48.28.52.66??UnitedKingdom.32.38.30.21.39.43.70?UnitedStates.30.23.17.14.27.27.28.44Relativelylowinternationalcorrelationsimplythatinvestorsshould