International Portfolio Diversification Research Papers

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The findings presented in Table 1 may appear discouraging.

As explained in the next section, a global factor has a simple interpretation: the average excess return across regions.

This explains the high cross-region correlations in Table 2.

Our study focuses exclusively on the developed world, specifically, eight macro regions: United States, Japan, Germany, United Kingdom, France, Canada, Europe excluding the aforementioned three major economies, and Asia Pacific excluding Japan.

Within each macro region, we construct long–short factor portfolios.

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