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International equity portfolios: Selecting the right benchmark for emerging markets

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  • Hamza, Olfa
  • Kortas, Mohamed
  • L'Her, Jean-Francois
  • Roberge, Mathieu

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  • Hamza, Olfa & Kortas, Mohamed & L'Her, Jean-Francois & Roberge, Mathieu, 2006. "International equity portfolios: Selecting the right benchmark for emerging markets," Emerging Markets Review, Elsevier, vol. 7(2), pages 111-128, June.
    • Handle: RePEc:eee:ememar:v:7:y:2006:i:2:p:111-128
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    References listed on IDEAS

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    1. Richards, Anthony J, 1997. "Winner-Loser Reversals in National Stock Market Indices: Can They Be Explained?," Journal of Finance, American Finance Association, vol. 52(5), pages 2129-2144, December.
    2. Claude B. Erb & Campbell R. Harvey, 2005. "The Tactical and Strategic Value of Commodity Futures," NBER Working Papers 11222, National Bureau of Economic Research, Inc.
    3. Kargin, Vladislav, 2002. "Value investing in emerging markets: risks and benefits," Emerging Markets Review, Elsevier, vol. 3(3), pages 233-244, September.
    4. Shanken, Jay, 1985. "Multivariate tests of the zero-beta CAPM," Journal of Financial Economics, Elsevier, vol. 14(3), pages 327-348, September.
    5. Ronald Balvers & Yangru Wu & Erik Gilliland, 2000. "Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies," Journal of Finance, American Finance Association, vol. 55(2), pages 745-772, April.
    6. Roll, Richard, 1978. "Ambiguity when Performance is Measured by the Securities Market Line," Journal of Finance, American Finance Association, vol. 33(4), pages 1051-1069, September.
    7. De Bondt, Werner F M & Thaler, Richard, 1985. "Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
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    Cited by:

    1. Lawrence Fisher & Daniel Weaver & Gwendolyn Webb, 2010. "Removing biases in computed returns," Review of Quantitative Finance and Accounting, Springer, vol. 35(2), pages 137-161, August.
    2. Prateek Sharma & Vipul, 2018. "Improving portfolio diversification: Identifying the right baskets for putting your eggs," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 39(6), pages 698-711, September.
    3. Davor Zoričić & Denis Dolinar & Zrinka Lovretin Golubić, 2020. "Factor-Based Optimization of a Fundamentally-Weighted Portfolio in the Illiquid and Undeveloped Stock Market," JRFM, MDPI, vol. 13(12), pages 1-12, December.
    4. Prateek SHARMA, 2017. "Economic value of portfolio diversification: Evidence from international multi-asset portfolios," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(4(613), W), pages 33-42, Winter.

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