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

Author

Listed:
  • John Cotter

    (School of Business and Geary Institute for Public Policy,University College Dublin. UCLA Ziman Center for Real Estate)

  • Stuart Gabriel

    (UCLA Anderson School of Management)

  • Richard Roll

    (California Institute of Technology)

Abstract

We present new international diversification indexes across equity, sovereign debt, and real estate. The indexes reveal a marked and near ubiquitous declin e 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.

Suggested Citation

  • John Cotter & Stuart Gabriel & Richard Roll, 2016. "Nowhere to run, nowhere to hide: asset diversification in a flat world," Working Papers 201612, Geary Institute, University College Dublin.
    • Handle: RePEc:ucd:wpaper:201612
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    References listed on IDEAS

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    2. Nikolay Gospodinov, 2017. "Asset Co-movements: Features and Challenges," FRB Atlanta Working Paper 2017-11, Federal Reserve Bank of Atlanta.

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    More about this item

    Keywords

    asset return integration and diversification; equities; fixed income; real estate;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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