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International Diversification: An Ex Post and Ex Ante Analysis of Possible Benefits

Author

Listed:
  • John Watson
  • John P. Dickinson

    (Department of Accounting and Finance, University of Western Australia. This paper has benefitted from the helpful comments of Dick Cotter and Philip Brown.)

Abstract

In 1972 the Australian Federal Government partially relaxed exchange controls prohibiting overseas portfolio investment by Australian investors. The purpose of this paper is to examine the benefits which might have accrued to Australian investors over the period 1970 to 1977 had they been able to take full advantage of international diversification. The analysis is carried out on both an ex post and ex ante basis and looks at both “Markowitz†and “naive†diversification strategies.

Suggested Citation

  • John Watson & John P. Dickinson, 1981. "International Diversification: An Ex Post and Ex Ante Analysis of Possible Benefits," Australian Journal of Management, Australian School of Business, vol. 6(1), pages 125-134, June.
    • Handle: RePEc:sae:ausman:v:6:y:1981:i:1:p:125-134
    DOI: 10.1177/031289628100600106
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    References listed on IDEAS

    as
    1. Lessard, Donald R, 1973. "International Portfolio Diversification: A Multivariate Analysis for a Group of Latin American Countries," Journal of Finance, American Finance Association, vol. 28(3), pages 619-633, June.
    2. Cohn, Richard A & Pringle, John J, 1973. "Imperfections in International Financial Markets: Implications for Risk Premia and the Cost of Capital to Firms," Journal of Finance, American Finance Association, vol. 28(1), pages 59-66, March.
    3. Agmon, Tamir, 1972. "The Relations Among Equity Markets: A Study of Share Price Co-Movements in the United States, United Kingdom, Germany and Japan," Journal of Finance, American Finance Association, vol. 27(4), pages 839-855, September.
    Full references (including those not matched with items on IDEAS)

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